-----BEGIN PRIVACY-ENHANCED MESSAGE----- Proc-Type: 2001,MIC-CLEAR Originator-Name: webmaster@www.sec.gov Originator-Key-Asymmetric: MFgwCgYEVQgBAQICAf8DSgAwRwJAW2sNKK9AVtBzYZmr6aGjlWyK3XmZv3dTINen TWSM7vrzLADbmYQaionwg5sDW3P6oaM5D3tdezXMm7z1T+B+twIDAQAB MIC-Info: RSA-MD5,RSA, H3H/OZvBGpSIkiaxjhM/ZQq4sCEFISlS2qkrRLVuXpX/bpnY4iKewL623YkAqo8z MvVphYFwPnr9qF5MMS0wKg== 0000935069-07-002970.txt : 20071207 0000935069-07-002970.hdr.sgml : 20071207 20071207125427 ACCESSION NUMBER: 0000935069-07-002970 CONFORMED SUBMISSION TYPE: N-CSR PUBLIC DOCUMENT COUNT: 6 CONFORMED PERIOD OF REPORT: 20070930 FILED AS OF DATE: 20071207 DATE AS OF CHANGE: 20071207 EFFECTIVENESS DATE: 20071207 FILER: COMPANY DATA: COMPANY CONFORMED NAME: SEI INSTITUTIONAL MANAGED TRUST CENTRAL INDEX KEY: 0000804239 IRS NUMBER: 000000000 STATE OF INCORPORATION: MA FISCAL YEAR END: 0930 FILING VALUES: FORM TYPE: N-CSR SEC ACT: 1940 Act SEC FILE NUMBER: 811-04878 FILM NUMBER: 071291798 BUSINESS ADDRESS: STREET 1: 2 OLIVER ST CITY: BOSTON STATE: MA ZIP: 02109 BUSINESS PHONE: 8003455734 MAIL ADDRESS: STREET 1: SEI INVESTMENTS STREET 2: 1 FREEDOM VALLEY DRIVE CITY: OAKS STATE: PA ZIP: 19456 FORMER COMPANY: FORMER CONFORMED NAME: TRUSTFUNDS INSTITUTIONAL MANAGED TRUST DATE OF NAME CHANGE: 19890509 0000804239 S000006667 SIMT CORE FIXED INCOME FUND C000018186 SIMT CORE FIXED INCOME FUND - CLASS I C000018187 SIMT CORE FIXED INCOME FUND - CLASS A TRLVX 0000804239 S000006668 SIMT LARGE CAP DIVERSIFIED ALPHA FUND C000018188 SIMT LARGE CAP DIVERSIFIED ALPHA FUND - CLASS A C000030066 SIMT LARGE CAP DIVERSIFIED ALPHA FUND - CLASS I 0000804239 S000006669 SIMT REAL ESTATE FUND C000018189 SIMT REAL ESTATE FUND - CLASS A SETAX 0000804239 S000006670 SIMT SMALL CAP GROWTH FUND C000018190 SIMT SMALL CAP GROWTH FUND - CLASS I C000018191 SIMT SMALL CAP GROWTH FUND - CLASS A SSCGX 0000804239 S000006671 SIMT LARGE CAP GROWTH FUND C000018192 SIMT LARGE CAP GROWTH FUND - CLASS I C000018193 SIMT LARGE CAP GROWTH FUND - CLASS A SELCX 0000804239 S000006672 SIMT SMALL CAP VALUE FUND C000018194 SIMT SMALL CAP VALUE FUND - CLASS I C000018195 SIMT SMALL CAP VALUE FUND - CLASS A SESVX 0000804239 S000006673 SIMT HIGH YIELD BOND FUND C000018196 SIMT HIGH YIELD BOND FUND - CLASS A SHYAX 0000804239 S000006674 SIMT LARGE CAP VALUE FUND C000018197 SIMT LARGE CAP VALUE FUND - CLASS I C000018198 SIMT LARGE CAP VALUE FUND - CLASS A TRMVX 0000804239 S000006675 SIMT MID CAP FUND C000018199 SIMT MID CAP FUND - CLASS A SEMCX 0000804239 S000006676 SIMT TAX-MANAGED LARGE CAP FUND C000018200 SIMT TAX-MANAGED LARGE CAP FUND - CLASS Y C000018201 SIMT TAX-MANAGED LARGE CAP FUND - CLASS A TMLCX 0000804239 S000006677 SIMT TAX-MANAGED SMALL CAP FUND C000018202 SIMT TAX-MANAGED SMALL CAP FUND - CLASS A STMSX 0000804239 S000006678 SIMT US MANAGED VOLATILITY FUND C000018203 SIMT US MANAGED VOLATILITY FUND - CLASS A C000036885 Class I 0000804239 S000010829 SIMT ENHANCED INCOME FUND C000030062 SIMT ENHANCED INCOME FUND - CLASS A C000036886 Class I 0000804239 S000010830 SIMT GLOBAL MANAGED VOLATILITY FUND C000030063 SIMT GLOBAL MANAGED VOLATILITY FUND - CLASS A C000036887 Class I 0000804239 S000010831 SIMT SMALL/MID CAP DIVERSIFIED ALPHA FUND C000030064 SIMT SMALL/MID CAP DIVERSIFIED ALPHA FUND - CLASS A 0000804239 S000018490 SIMT S&P 500 Index Fund C000051280 Class A C000051281 Class E C000051282 Class I N-CSR 1 simtar9_07comb.txt SIMT AR 9_07 COMBINED UNITED STATES SECURITIES AND EXCHANGE COMMISSION WASHINGTON, D.C. 20549 -------- FORM N-CSR -------- CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT INVESTMENT COMPANIES INVESTMENT COMPANY ACT FILE NUMBER 811-04878 SEI INSTITUTIONAL MANAGED TRUST (Exact name of registrant as specified in charter) -------- c/o CT Corporation 101 Federal St. Boston, MA 02110 (Address of principal executive offices) (Zip code) SEI Investments One Freedom Valley Drive Oaks, PA 19456 (Name and address of agent for service) REGISTRANT'S TELEPHONE NUMBER, INCLUDING AREA CODE: 1-800-342-5734 DATE OF FISCAL YEAR END: SEPTEMBER 30, 2007 DATE OF REPORTING PERIOD: SEPTEMBER 30, 2007 ITEM 1. REPORTS TO STOCKHOLDERS. [LOGO] New Ways. SEI New answers.(R) - -------------------------------------------------------------------------------- SEI Institutional Managed Trust - -------------------------------------------------------------------------------- Annual Report as of September 30, 2007 - -------------------------------------------------------------------------------- Large Cap Value Fund Large Cap Growth Fund Tax-Managed Large Cap Fund Large Cap Diversified Alpha Fund S&P 500 Index Fund Small Cap Value Fund Small Cap Growth Fund Tax-Managed Small Cap Fund Small/Mid Cap Diversified Alpha Fund Mid-Cap Fund U.S. Managed Volatility Fund Global Managed Volatility Fund Real Estate Fund Enhanced Income Fund Core Fixed Income Fund High Yield Bond Fund TABLE OF CONTENTS - -------------------------------------------------------------------------------- Management's Discussion and Analysis of Fund Performance 1 - -------------------------------------------------------------------------------- Schedules of Investments 30 - -------------------------------------------------------------------------------- Statements of Assets and Liabilities 202 - -------------------------------------------------------------------------------- Statements of Operations 206 - -------------------------------------------------------------------------------- Statements of Changes in Net Assets 210 - -------------------------------------------------------------------------------- Financial Highlights 215 - -------------------------------------------------------------------------------- Notes to Financial Statements 219 - -------------------------------------------------------------------------------- Report of Independent Registered Public Accounting Firm 233 - -------------------------------------------------------------------------------- Trustees and Officers of the Trust 234 - -------------------------------------------------------------------------------- Disclosure of Fund Expenses 237 - -------------------------------------------------------------------------------- Board of Trustees Considerations in Approving the Advisory and Sub-Advisory Agreements 239 - -------------------------------------------------------------------------------- Notice to Shareholders 242 - -------------------------------------------------------------------------------- Shareholder Voting Results 243 - -------------------------------------------------------------------------------- The Trust files its complete schedule of portfolio holdings with the Securities and Exchange Commission ("Commission") for the first and third quarters of each fiscal year on Form N-Q within sixty days after period end. The Trust's Form N-Q is available on the Commission's website at http://www.sec.gov, and may be reviewed and copied at the Commission's Public Reference Room in Washington, DC. Information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330. A description of the policies and procedures that the Trust uses to determine how to vote proxies relating to portfolio securities, as well as information relating to how a Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30, is available (i) without charge, upon request, by calling 1-800-DIAL-SEI; and (ii) on the Commission's website at http://www.sec.gov. MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE SEI INSTITUTIONAL MANAGED TRUST -- SEPTEMBER 30, 2007 Large Cap Value Fund Objective The Large Cap Value Fund (the "Fund") seeks to provide long-term growth of capital and income by investing in the equity securities of large companies. The Fund invests primarily in a diversified portfolio of high quality, income producing common stocks, which in the adviser's opinion, are undervalued in the marketplace at the time of purchase. Strategy With respect to this Fund, SEI Investments Management Corporation ("SIMC") employs a multi-manager structure to gain exposure to the entire large cap value sector, adding value through stock selection while managing risk in the form of capitalization, valuation and economic sector exposures. Assets of the Fund are strategically allocated among its four sub-advisers, each of whom has responsibility for stock selection for its respective assets under management. Through various investment approaches, each sub-adviser contributes a unique expertise or sub-style to the Fund. Aronson + Johnson + Ortiz invests in asset-rich companies selling at relatively low multiples of earnings which have earnings and price momentum. LSV Asset Management invests in companies trading at deep discounts to their intrinsic value, while Enhanced Investment Technologies employs a volatility capture strategy. AllianceBernstein incorporates intensive fundamental research to invest in undervalued stocks where there is a relationship between the current price, its future earnings power and dividend producing capability. Analysis The Large Cap Value Fund, Class A, returned 13.91% for the fiscal year, lagging behind the value area of the market for the period. The Russell 1000 Value Index returned 14.45% for the fiscal year ended September 30, 2007. U.S. large cap stocks rallied strongly during the fiscal year returning close to 17% for the one year ending September 30, 2007 as measured by the Russell 1000 Index. Investors were encouraged by strong global economic growth and seemed to adjust well to slowing growth in the U.S. following record double digit growth for multiple prior quarters. The rally came in spite of rising oil prices to above $80 a barrel as well as weakness in housing and ongoing subprime fears. The fiscal year started out on a strong note as large cap stocks rallied for the first several months on strong global economic news, low unemployment and a continued torrid pace of merger and acquisition and private equity activity. Investors pushed through a temporary setback in late February when the market fell by 3.5% in a single day. Subprime fears came to a head in late July and early August, when credit markets seized up and spilled over into equity markets sending the broader market down close to 10% from the mid-July peaks to mid-August. This market weakness tended to hit quantitative managers the hardest due to what we believe to be a shift in capital market flows and hedge fund trading. Once again, however, markets regained their footing as global central banks injected liquidity into financial markets, and investors began to price in a 25 basis points or 50 basis points rate cut by the U.S. Federal Reserve. By the end of September, markets were once again approaching new highs. The energy and materials sectors continued to lead markets as both returned approximately 40% for the fiscal year. Energy rallied on the back of strong oil prices and heightened supply concerns. The financials sector was the significant underperformer; weighed down by subprime fallout. Thrifts and mortgage finance, consumer finance, as well as the large money center banks were among the weakest performers. The fiscal year witnessed the reversal of two significant and long-running trends in the U.S. equity market: the underperformance of growth and the underperformance of megacaps. The Russell 1000 Growth Index outpaced the Russell 1000 Value Index by close to 5% as both stronger growing and more expensive stocks, as measured by P/E, outperformed. Although the largest 10% and 20% of the stock universe performed slightly below the broad market for the entire fiscal year, these stocks staged a sharp comeback starting in the third fiscal quarter. The portfolio outpaced the benchmark for the first three quarters of the fiscal year, but gave back much of the gains following the spillover from the credit meltdown in July and August. On the positive side, the portfolio benefitted from strong stock selection within the information technology, industrials and consumer staples sectors. The portfolio also benefitted from a slight overweight to faster growing stocks in the value benchmark. However, this was offset by the negative impact of a slight overweight to diversified financials as well as negative stock - -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Annual Report / September 30, 2007 1 MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE SEI INSTITUTIONAL MANAGED TRUST -- SEPTEMBER 30, 2007 selection within thrifts and mortgage finance companies. All four sub-advisers to the fund traded fairly close to the Russell 1000 Value Index benchmark with the exception of LSV Asset Management. LSV Asset Management outpaced the value area of the market as the manger's strong stock selection within the industrials and information technology sectors more than offset negative stock selection within the financials sector. There were no sub-adviser changes during the fiscal year. Large Cap Value Fund: AVERAGE ANNUAL TOTAL RETURN 1 - -------------------------------------------------------------------------------- Annualized Annualized Annualized Annualized One Year 3 Year 5 Year 10 Year Inception Return Return Return Return to Date - -------------------------------------------------------------------------------- Large Cap Value Fund, Class A 13.91% 14.40% 17.03% 7.50% 12.21% - -------------------------------------------------------------------------------- Large Cap Value Fund, Class I 13.64% 14.13% 16.73% 7.18% 11.87% - -------------------------------------------------------------------------------- Comparison of Change in the Value of a $100,000 Investment in the Large Cap Value Fund, Class A and Class I, versus the Russell 1000 Value Index [THE FOLLOWING TABLE WAS REPRESENTED BY A LINE GRAPH IN THE PRINTED MATERIAL.] Large Cap Value Large Cap Value Russell 1000 Fund, Class A Fund, Class I Value Index 9/30/97 $100,000 $100,000 $100,000 9/30/98 98,600 98,210 103,590 9/30/99 115,490 114,631 122,982 9/30/00 120,653 119,331 133,940 9/30/01 114,523 112,911 122,006 9/30/02 93,841 92,316 101,326 9/30/03 115,002 112,782 126,019 9/30/04 137,611 134,583 151,878 9/30/05 159,450 155,591 177,226 9/30/06 180,848 176,067 203,137 9/30/07 206,004 200,083 232,490 1 For the period ended 9/30/07. Past performance is no indication of future performance. The performance indicated above for Class A Shares begins on 10/3/94 at which time Mellon Equity Associates acted as investment adviser to the Fund. Previous periods during which the Fund was advised by another investment adviser are not shown. Class I Shares performance for the period prior to 8/6/01 is performance derived from the performance of the Class A Shares. The performance of Class I Shares may be lower than the performance of Class A Shares because of different distribution fees paid by Class I shareholders. Class A Shares were offered beginning 10/3/94 and Class I Shares were offered beginning 8/6/01. Returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. The returns for certain periods reflect fee waivers and/or reimbursements in effect for that period; absent fee waivers and reimbursements, performance would have been lower. - -------------------------------------------------------------------------------- 2 SEI Institutional Managed Trust / Annual Report / September 30, 2007 MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE SEI INSTITUTIONAL MANAGED TRUST -- SEPTEMBER 30, 2007 Large Cap Growth Fund Objective The investment objective of the Large Cap Growth Fund (the "Fund") is capital appreciation by investing in the equity securities of large companies. The Fund invests in the securities of issuers believed to possess significant growth potential that is underappreciated by the market. Strategy With respect to this Fund, SEI Investments Management Corporation ("SIMC") employs a multi-manager structure to gain exposure to the entire large cap growth sector, adding value through stock selection while managing risk in the form of capitalization, valuation and economic sector exposures. Assets of the Fund are strategically allocated among its sub-advisers, each of which has responsibility for stock selection for its respective assets under management. Through various investment approaches, each sub-adviser contributes a unique expertise to the Fund. Goldman Sachs Asset Management invests in companies with strong business franchises that are attractively priced relative to their discounted cash flows. Quantitative Management Associates favors large cap stocks that have positive news flow and attractive valuation characteristics. Montag & Caldwell invests in large cap stocks that exhibit accelerating earnings, are trading at a discount to fair value, and are financially stable. Enhanced Investment Technologies employs a volatility capture strategy, while Delaware Management Company invests in stocks that are attractively valued from a cash flow basis and have strong prospects for organic growth in the future. Analysis The Large Cap Growth Fund, Class A, returned 19.26% for the fiscal year, lagging behind the growth area of the market for the period. The Russell 1000 Growth Index returned 19.35% for the fiscal year ended September 30, 2007. U.S. large cap stocks rallied strongly during the fiscal year returning close to 17% for the one year ending September 30, 2007 as measured by the Russell 1000 Index. Investors were encouraged by strong global economic growth and seemed to adjust well to slowing growth in the U.S. following record double digit growth for multiple prior quarters. The rally came in spite of rising oil prices to above $80 a barrel as well as weakness in housing and ongoing subprime fears. The fiscal year started out on a strong note as large cap stocks rallied for the first several months on strong global economic news, low unemployment and a continued torrid pace of merger and acquisition and private equity activity. Investors pushed through a temporary setback in late February when the market fell by 3.5% in a single day. Subprime fears came to a head in late July and early August, when credit markets seized up and spilled over into equity markets sending the broader market down close to 10% from the mid-July peaks to mid-August. This market weakness tended to hit quantitative managers the hardest due to what we believe to be a shift in capital market flows and hedge fund trading. Once again, however, markets regained their footing as global central banks injected liquidity into financial markets, and investors began to price in a 25 basis points or 50 basis points rate cut by the U.S. Federal Reserve. By the end of September, markets were once again approaching new highs. The energy and materials sectors continued to lead markets as both returned approximately 40% for the fiscal year. Energy rallied on the back of strong oil prices and heightened supply concerns. The financials sector was the significant underperformer; weighed down by subprime fallout. Thrifts and mortgage finance, consumer finance, as well as the large money center banks were among the weakest performers. The fiscal year witnessed the reversal of two significant and long-running trends in the U.S. equity market: the under-performance of growth and the underperformance of megacaps. The Russell 1000 Growth Index outpaced the Russell 1000 Value Index by close to 5% as both stronger growing and more expensive stocks, as measured by P/E, outperformed. Although the largest 10% and 20% of the stock universe performed slightly below the broad market for the entire fiscal year, these stocks staged a sharp comeback starting in the third fiscal quarter. The portfolio benefited from having a more significant growth exposure than the benchmark as well as strong stock selection across sectors. Stock selection was particularly strong within health care, technology and diversified financials. The energy sector also - -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Annual Report / September 30, 2007 3 MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE SEI INSTITUTIONAL MANAGED TRUST -- SEPTEMBER 30, 2007 presented a boost as the managers tended to favor the outperforming oil services and equipment companies that they believe will benefit the most from the increased global energy demand and limited supply. The most notable detractors to relative performance were underweight positions to the industrials and materials sectors which both rallied during the fiscal year. The portfolio also had a modest overweight to the food retailing industry that lagged the broad market. Montag & Caldwell performed very well for the period driven by strong stock selection within the energy and information technology sectors. Quantitative Management Associates lagged the growth benchmark as the sub-portfolio sold off late in the fiscal year following the flight to quality while Enhanced Investment Technologies suffered from an environment of relatively low volatility. Lastly, Delaware Management Company and Goldman Sachs Asset Management outpaced the growth benchmark. There were no sub-adviser changes during the fiscal year. Large Cap Growth Fund: AVERAGE ANNUAL TOTAL RETURN 1 - -------------------------------------------------------------------------------- Annualized Annualized Annualized Annualized One Year 3 Year 5 Year 10 Year Inception Return Return Return Return to Date - -------------------------------------------------------------------------------- Large Cap Growth Fund, Class A 19.26% 11.80% 13.05% 3.17% 9.13% - -------------------------------------------------------------------------------- Large Cap Growth Fund, Class I 18.91% 11.51% 12.78% 2.84% 8.76% - -------------------------------------------------------------------------------- Comparison of Change in the Value of a $100,000 Investment in the Large Cap Growth Fund, Class A and Class I, versus the Russell 1000 Growth Index [THE FOLLOWING TABLE WAS REPRESENTED BY A LINE GRAPH IN THE PRINTED MATERIAL.] Large Cap Growth Large Cap Growth Russell 1000 Fund, Class A Fund, Class I Growth Index 9/30/97 $100,000 $100,000 $100,000 9/30/98 108,350 107,890 111,100 9/30/99 149,241 147,993 149,818 9/30/00 195,014 192,583 184,921 9/30/01 95,401 93,826 100,523 9/30/02 73,964 72,500 77,895 9/30/03 89,985 87,993 98,086 9/30/04 97,741 95,402 105,452 9/30/05 110,203 107,251 117,684 9/30/06 114,523 111,251 124,792 9/30/07 136,581 132,289 148,940 1 For the period ended 9/30/07. Past performance is no indication of future performance. Class I Shares performance for the period prior to 8/6/01 is the performance derived from the performance of the Class A Shares. The performance of Class I Shares may be lower than the performance of Class A Shares because of different distribution fees paid by Class I shareholders. Class A Shares were offered beginning 12/20/94 and Class I Shares were offered beginning 8/6/01. Returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. The returns for certain periods reflect fee waivers and/or reimbursements in effect for that period; absent fee waivers and reimbursements, performance would have been lower. - -------------------------------------------------------------------------------- 4 SEI Institutional Managed Trust / Annual Report / September 30, 2007 MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE SEI INSTITUTIONAL MANAGED TRUST -- SEPTEMBER 30, 2007 Tax-Managed Large Cap Fund Objective The investment objective of the Tax-Managed Large Cap Fund (the "Fund") is capital appreciation by investing in the equity securities of large companies. The Fund attempts to maximize after-tax returns to investors through lower turnover and tax management techniques. Strategy With respect to this Fund, SEI Investments Management Corporation ("SIMC") employs a multi-manager structure to gain exposure to the entire U.S. large cap market, seeking to add value through stock selection in a tax-aware framework while minimizing risk in the form of capitalization, valuation and economic sector exposures. Assets of the Fund are strategically allocated among its sub-advisers, each of which has responsibility for stock selection for its respective assets under management. Through various investment approaches, each sub-adviser contributes a unique expertise to the Fund. Goldman Sachs Asset Management, Delaware Management, and Montag & Caldwell focus on stocks that have growth characteristics. AllianceBernstein, LSV Asset Management and Aronson + Johnson + Ortiz focus on selecting stocks that have value-oriented characteristics. Quantitative Management Associates invests a core portfolio that favors large cap stocks with positive news flow trading at attractive valuations. Parametric Portfolio Associates invests in both value and growth large-cap stocks through a quantitative process which aggressively harvests tax-losses in the portfolio. Analysis The Tax-Managed Large Cap Fund, Class A, returned 17.05% for the fiscal year, finishing ahead of the broad market for the period. The Russell 1000 Index returned 16.90% for the fiscal year ended September 30, 2007. U.S. large cap stocks rallied strongly during the fiscal year returning close to 17% for the one year ending September 30, 2007 as measured by the Russell 1000 Index. Investors were encouraged by strong global economic growth and seemed to adjust well to slowing growth in the U.S. following record double digit growth for multiple prior quarters. The rally came in spite of rising oil prices to above $80 a barrel as well as weakness in housing and ongoing subprime fears. The fiscal year started out on a strong note as large cap stocks rallied for the first several months on strong global economic news, low unemployment and a continued torrid pace of merger and acquisition and private equity activity. Investors pushed through a temporary setback in late February when the market fell by 3.5% in a single day. Subprime fears came to a head in late July and early August, when credit markets seized up and spilled over into equity markets sending the broader market down close to 10% from the mid-July peaks to mid-August. This market weakness tended to hit quantitative managers the hardest due to what we believe to be a shift in capital market flows and hedge fund trading. Once again, however, markets regained their footing as global central banks injected liquidity into financial markets, and investors began to price in a 25 basis points or 50 basis points rate cut by the U.S. Federal Reserve. By the end of September, markets were once again approaching new highs. The energy and materials sectors continued to lead markets as both returned approximately 40% for the fiscal year. Energy rallied on the back of strong oil prices and heightened supply concerns. The financials sector was the significant underperformer; weighed down by subprime fallout. Thrifts and mortgage finance, consumer finance, as well as the large money center banks were among the weakest performers. The fiscal year witnessed the reversal of two significant and long-running trends in the U.S. equity market: the underperformance of growth and the underperformance of megacaps. The Russell 1000 Growth Index outpaced the Russell 1000 Value Index by close to 5% as both stronger growing and more expensive stocks, as measured by P/E, outperformed. Although the largest 10% and 20% of the stock universe performed slightly below the broad market for the entire fiscal year, these stocks staged a sharp comeback starting in the third fiscal quarter. The Fund benefited from having a more significant growth exposure than the benchmark as well as strong stock selection across sectors. Stock selection was particularly strong within information technology, energy and diversified financials. Strength within the energy sector was driven by overweight positions in the outperforming oil services and equipment companies that the managers generally believe will benefit the most from the increased global energy demand and - -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Annual Report / September 30, 2007 5 MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE SEI INSTITUTIONAL MANAGED TRUST -- SEPTEMBER 30, 2007 limited supply. The most notable detractors to relative performance were underweight positions to the industrials and materials sectors which both rallied during the fiscal year. The portfolio also had a modest overweight to thrifts and mortgage finance companies as well as diversified financial companies which weighed on performance. The growth managers in the Fund strongly outpaced the growth benchmark while the value managers traded modestly ahead of the value area of the market. The one standout is Montag & Caldwell, whose strong performance during the period was driven by stock selection within the energy and information technology sectors. During the fiscal year, SIMC added Quantitative Management Associates as a sub-adviser to the portfolio. Tax-Managed Large Cap Fund: AVERAGE ANNUAL TOTAL RETURN 1 - -------------------------------------------------------------------------------- Annualized Annualized Annualized One Year 3 Year 5 Year Inception Return Return Return to Date - -------------------------------------------------------------------------------- Tax-Managed Large Cap Fund, Class A 17.05% 13.29% 15.48% 4.94% - -------------------------------------------------------------------------------- Tax-Managed Large Cap Fund, Class Y 17.43% 13.63% 15.84% 5.12% - -------------------------------------------------------------------------------- Comparison of Change in the Value of a $100,000 Investment in the Tax-Managed Large Cap Fund, Class A and Class Y, versus the Russell 1000 Index [THE FOLLOWING TABLE WAS REPRESENTED BY A LINE GRAPH IN THE PRINTED MATERIAL.] Tax-Managed Large Tax-Managed Large Russell Cap Fund, Class A Cap Fund, Class Y 1000 Index 3/5/98 $100,000 $100,000 $100,000 9/30/98 96,177 96,177 96,849 9/30/99 127,530 127,530 122,970 9/30/00 138,574 138,574 144,871 9/30/01 97,113 97,113 103,698 9/30/02 77,263 77,321 83,467 9/30/03 95,683 96,079 104,450 9/30/04 109,126 109,925 118,969 9/30/05 124,840 126,171 135,934 9/30/06 135,551 137,312 149,867 9/30/07 158,663 161,246 175,195 1 For the period ended 9/30/07. Past performance is no indication of future performance. Class Y Shares performance for the period prior to 4/8/02 is performance derived from the performance of the Class A Shares. The performance of Class Y Shares may be different from the performance of Class A Shares because of different distribution fees paid by Class Y shareholders. Class A Shares were offered beginning 3/5/98 and Class Y Shares were offered beginning 4/8/02. Returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. The returns for certain periods reflect fee waivers and/or reimbursements in effect for that period; absent fee waivers and reimbursements, performance would have been lower. - -------------------------------------------------------------------------------- 6 SEI Institutional Managed Trust / Annual Report / September 30, 2007 MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE SEI INSTITUTIONAL MANAGED TRUST -- SEPTEMBER 30, 2007 Large Cap Diversified Alpha Fund Objective The Large Cap Diversified Alpha Fund (the "Fund") seeks to provide long-term growth of capital and income by investing in the equity securities of large companies and in portfolio strategies designed to correlate to a portfolio composed of large cap equity securities. While the Fund is expected to have an absolute return and risk profile similar to the broad U.S. large cap equity market, returns may be derived in part from investing significant portions of the Fund in securities outside of the large cap market. Strategy The Fund uses a multi-manager approach under the general supervision of SEI Investments Management Corporation ("SIMC"), allocating the assets among multiple sub-advisers that use different investment strategies to seek to achieve returns in excess of the performance of a broad U.S. large cap benchmark. This allocation among investment strategies aims to diversify the sources from which sub-advisers seek to achieve excess returns (i.e., returns in excess of a benchmark index), and thereby diversify the relative risk of the Fund. Some sub-advisers may engage in short sales up to 30% of the value of their Fund allocation and use the proceeds from the sale to purchase long positions in additional equity securities. Some sub-advisers may also use portfolio strategies that are designed to correlate with a portfolio of large cap equity securities, but which are composed of derivative instruments backed by other types of securities. Aronson + Johnson + Ortiz, Analytic Investors, and Quantitative Management Associates seek to overweight stocks with attractive fundamental and/or technical characteristics and underweight or even short stocks with unattractive fundamental and/or technical characteristics. Enhanced Investment Technologies employs a volatility capture strategy, Delaware Management Company seeks to identify stocks with underappreciated growth characteristics, while Smith Breeden Associates seeks to generate excess returns within the U.S. fixed income market and transports it to the equity market. Analysis The Large Cap Diversified Alpha Fund, Class A, returned 15.64% for the fiscal year ending September 30, 2007, trailing the broad market. The Russell 1000 Index returned 16.90% for the fiscal year ended September 30, 2007. U.S. large cap stocks rallied strongly during the fiscal year returning close to 17% for the one year ending September 30, 2007 as measured by the Russell 1000 Index. Investors were encouraged by strong global economic growth and seemed to adjust well to slowing growth in the U.S. following record double digit growth for multiple prior quarters. The rally came in spite of rising oil prices to above $80 a barrel as well as weakness in housing and ongoing subprime fears. The fiscal year started out on a strong note as large cap stocks rallied for the first several months on strong global economic news, low unemployment and a continued torrid pace of merger and acquisition and private equity activity. Investors pushed through a temporary setback in late February when the market fell by 3.5% in a single day. Subprime fears came to a head in late July and early August, when credit markets seized up and spilled over into equity markets sending the broader market down close to 10% from the mid-July peaks to mid-August. This market weakness tended to hit quantitative managers the hardest due to what we believe to be a shift in capital market flows and hedge fund trading. Once again however, markets regained their footing as global central banks injected liquidity into financial markets, and investors began to price in a 25 basis points or 50 basis points rate cut by the U.S. Federal Reserve. By the end of September, markets were once again approaching new highs. The energy and materials sectors continued to lead markets as both returned approximately 40% for the fiscal year. Energy rallied on the back of strong oil prices and heightened supply concerns. The financials sector was the significant underperformer; weighed down by subprime fallout. Thrifts and mortgage finance, consumer finance, as well as the large money center banks were among the weakest performers. The fiscal year witnessed the reversal of two significant - -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Annual Report / September 30, 2007 7 MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE SEI INSTITUTIONAL MANAGED TRUST -- SEPTEMBER 30, 2007 and long-running trends in the U.S. equity market: the underperformance of growth and the underperformance of megacaps. The Russell 1000 Growth Index outpaced the Russell 1000 Value Index by close to 5% as both stronger growing and more expensive stocks, as measured by P/E, outperformed. Although the largest 10% and 20% of the stock universe performed slightly below the broad market for the entire fiscal year, these stocks staged a sharp comeback starting in the third fiscal quarter. The Fund suffered from exposure to the fixed income markets through the Smith Breeden Associates portable alpha strategy. Although Smith Breeden's portfolio was generally higher quality with very limited exposure to the subprime area of the market, the credit crunch that started in July was very broad and few areas of the bond market were spared. The portfolio also suffered from an underweight to the rallying energy sector. On the positive side, the portfolio benefited from being underweight financials as well as strong stock selection across sectors. Stock selection was particularly strong within materials, health care, and diversified financial services. From an individual manager standpoint, Enhanced Investment Technologies, Quantitative Management Associates, and Smith Breeden Associates fell short of the broad market, while Analytic Investors, Aronson + Johnson + Ortiz, and Delaware Management outpaced their respective benchmarks. Analytic Investors performed particularly well benefiting from their factor momentum investment strategy. There were no sub-adviser changes during the fiscal year. Large Cap Diversified Alpha Fund: AVERAGE ANNUAL TOTAL RETURN 1 - -------------------------------------------------------------------------------- Annualized One Year Inception Return to Date - -------------------------------------------------------------------------------- Large Cap Diversified Alpha Fund, Class A 15.64% 11.08% - -------------------------------------------------------------------------------- Large Cap Diversified Alpha Fund, Class I 15.42% 10.96% - -------------------------------------------------------------------------------- Comparison of Change in the Value of a $100,000 Investment in the Large Cap Diversified Alpha Fund, Class A and Class I, versus the Russell 1000 Index [THE FOLLOWING TABLE WAS REPRESENTED BY A LINE GRAPH IN THE PRINTED MATERIAL.] Large Cap Diversified Large Cap Diversified Russell 1000 Alpha Fund, Class A Alpha Fund, Class I Index 12/14/05 $100,000 $100,000 $100,000 9/30/06 104,451 104,451 106,065 9/30/07 120,787 120,557 123,990 1 For the period ended 9/30/07. Past performance is no indication of future performance. Class I Shares performance for the period prior to 9/14/06 is performance derived from the performance of the Class A Shares. The performance of the Class I Shares may be lower than the performance of Class A Shares because of different distribution fees paid by Class I shareholders. Class A Shares were offered beginning 12/14/05 and Class I Shares were offered beginning 9/14/06. Returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. The returns for certain periods reflect fee waivers and/or reimbursements in effect for that period; absent fee waivers and reimbursements, performance would have been lower. - -------------------------------------------------------------------------------- 8 SEI Institutional Managed Trust / Annual Report / September 30, 2007 MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE SEI INSTITUTIONAL MANAGED TRUST -- SEPTEMBER 30, 2007 S&P 500 Index Fund Objective The S&P 500 Index Fund (the "Fund") seeks to provide investment results that correspond to the aggregate price and dividend performance of the securities in the S&P 500 Index (the "Index"). The Index is a capitalization-weighted index of 500 stocks intended to be a representative sample of leading companies in leading industries within the U.S. economy. Stocks in the Index are chosen for market size (large-cap), liquidity, and industry group representation. Strategy The Fund attempts to match the performance of the widely followed Index by replicating its composition in full. The fifty largest stocks in the Index account for approximately 50% of the weighting of the Index. Deviation of performance between the Fund and the Index, measured as tracking error, is typically attributable to trading costs and cash reserves held for liquidity needs. The presence of cash in the Fund may result in underperformance relative to the Index in rising markets and out-performance in declining markets. To mitigate these effects, the Fund may use stock index futures to hedge its cash position. Futures contracts enable the Fund to maintain exposure to the market with reduced trading expenses, since the cost of the futures contract is relatively nominal. The value of stock index futures held by the Fund may not exceed 20% of the Fund's assets. Analysis The S&P 500 Index Fund, Class A, returned 16.04% for the fiscal year. For the fiscal year ending September 30, 2007, the Index posted double digit gains, returning 16.44%. During the period, large cap securities outperformed their small cap counterparts but trailed non-U.S. securities. Growth oriented stocks led their value counterparts. In mid-July and August, the market suffered a bit of a liquidity crunch as subprime meltdown in fixed income trickled into the equity markets. The U.S. Federal Reserve cut the federal fund rate by 50 basis points, which benefited the equity markets. All ten S&P GICS sectors generated positive returns during the fiscal year. Materials and energy were two of the best performing sectors. Meanwhile, financials, health care, and consumer discretionary stocks trailed the rest of the market. Overall, the financials sector was the worst performing sector during the fiscal year. S&P 500 Index Fund: AVERAGE ANNUAL TOTAL RETURN 1 - -------------------------------------------------------------------------------- Annualized Annualized Annualized Annualized Six Month One Year 3 Year 5 Year 10 Year Inception Return 2 Return Return Return Return to Date - -------------------------------------------------------------------------------- S&P 500 Index Fund, Class A 8.28% 16.04% 12.71% 15.00% 6.15% 9.07% - -------------------------------------------------------------------------------- S&P 500 Index Fund, Class E 8.34% 16.21% 12.87% 15.19% 6.32% 12.09% - -------------------------------------------------------------------------------- S&P 500 Index Fund, Class I 8.12% 15.74% 12.42% 14.72% 5.84% 8.75% - -------------------------------------------------------------------------------- Comparison of Change in the Value of a $10,000 Investment in the S&P 500 Index Fund, Class A, Class E and Class I, versus the S&P 500 Index [THE FOLLOWING TABLE WAS REPRESENTED BY A LINE GRAPH IN THE PRINTED MATERIAL.] S&P 500 Index S&P 500 Index S&P 500 Index S&P 500 Fund, Class A Fund, Class E Fund, Class I Index 9/30/97 $10,000 $10,000 $10,000 $10,000 9/30/98 10,867 10,883 10,825 10,905 9/30/99 13,835 13,883 13,728 13,937 9/30/00 15,611 15,691 15,431 15,787 9/30/01 11,398 11,473 11,224 11,585 9/30/02 9,030 9,101 8,882 9,211 9/30/03 11,190 11,300 10,984 11,458 9/30/04 12,686 12,834 12,420 13,047 9/30/05 14,179 14,369 13,848 14,645 9/30/06 15,652 15,880 15,247 16,225 9/30/07 18,162 18,454 17,646 18,893 1 For the period ended September 30, 2007. Past performance is no indication of future performance. Class A shares were offered beginning 2/28/96. Class E shares were offered beginning 7/31/85. Class I shares were offered beginning 6/28/02. Class I shares performance for the period prior to 6/28/02 is performance derived from performance of the Class A shares. The performance of the Class A and Class I shares may be lower than the performance of Class E shares because of different distribution fees paid by Class A and Class I shareholders. Effective 7/31/97, the Board of Trustees approved the renaming of Class A and Class E shares to Class E and Class A shares, respectively. In addition, returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. 2 For the six months ended September 30, 2007. Effective September 14, 2007, the Funds fiscal year changed from March 31, to September 30. - -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Annual Report / September 30, 2007 9 MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE SEI INSTITUTIONAL MANAGED TRUST -- SEPTEMBER 30, 2007 Small Cap Value Fund Objective The Small Cap Value Fund (the "Fund") seeks to provide capital appreciation by investing in equity securities of smaller companies. The Fund invests in the stocks of companies it believes are undervalued in light of such fundamental characteristics as earnings, book value or return on equity. Strategy With respect to this Fund, SEI Investments Management Corporation ("SIMC") employs a multi-manager structure to gain exposure to the entire small cap value sector, adding value through stock selection while minimizing risk in the form of capitalization, valuation and economic sector exposures. The Fund is jointly sub-advised by nine investment managers. Assets of the Fund are strategically allocated among its eight sub-advisers, each of which has a responsibility for stock selection for its respective assets under management. Through various investment approaches, each sub-adviser contributes a particular expertise or sub-style to the Fund. Using a bottom-up process, Artisan Partners Limited Partnership seeks to identify companies which are currently trading below the intrinsic value of the business that have little institutional following. BlackRock Capital Management focuses on attractively valued companies with a near term business catalyst. David J. Greene and Company invests in complex multi-segment businesses often possessing several growth areas masked by a slower growing parent. Lee Munder Investments uses a classic value approach of identifying quality businesses at attractive valuations. LSV Asset Management invests in companies trading at deep discounts to their intrinsic value and near term earnings visibility. Martingale Asset Management employs a systematic approach focused on relative valuation, sustainable growth, and management quality. Wellington Management Company utilizes a unique risk/reward relative valuation assessment to identify attractive real estate investments. Weiss, Peck & Greer seeks to exploit market anomalies through both traditional value investments and special situations, investing when a near-term, positive catalyst exists at company and sector levels. Each of the aforementioned sub-styles assumes a different importance in determining overall style risk and must therefore be weighted accordingly. Analysis The Russell 2000 Value Index (the "Index") yielded 6.09% for the fiscal year ending September 30, 2007. Materials were the biggest contributor to the performance of the Index over the past year, posting excellent returns on climbing commodity prices amid growing global demand. Beginning in early 2007, financials stocks experienced a substantial drop in performance: banks suffered as investors became concerned over credit risk on subprime residential loans, and REITs gave back most of their fourth quarter 2006 gains as the housing market slowed. Consumer discretionary stocks, especially those in retailing, lagged the Index for the period as investors worried about consumer spending in the face of tighter credit conditions and rising gas prices. The Small Cap Value Fund, Class A, gained 10.70% in the last 12 months, and five of the managers surpassed the benchmark. Strong stock selection across sectors and a strategic underweight to the lagging financials area boosted Fund returns above the broad market. On a manager level, David J. Greene and Company beat the broad market largely through superior stock selection in the industrials area, and Lee Munder Investments performed the same feat with respect to information technology and consumer discretionary. LSV Asset Management managed slight excess returns over the fiscal year, despite struggling in the third quarter of 2007 as many valuation metrics exhibited negative returns. The excess returns Martingale Asset Management accumulated from October 2006 through June 2007 could not offset the losses in early August as several large hedge fund managers placed selling pressure on valuation-sensitive stocks which these managers typically hold. Finally, Wellington Management Company's outperformance versus the WRESI Index was due to strong and broad stock selection within REIT securities. During the fiscal year, SIMC added Weiss, Peck & Greer, LLC as a sub-adviser to the portfolio. - -------------------------------------------------------------------------------- 10 SEI Institutional Managed Trust / Annual Report / September 30, 2007 MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE SEI INSTITUTIONAL MANAGED TRUST -- SEPTEMBER 30, 2007 Small Cap Value Fund: AVERAGE ANNUAL TOTAL RETURN 1 - -------------------------------------------------------------------------------- Annualized Annualized Annualized Annualized One Year 3 Year 5 Year 10 Year Inception Return Return Return Return to Date - -------------------------------------------------------------------------------- Small Cap Value Fund, Class A 10.70% 13.97% 19.19% 9.73% 13.50% - -------------------------------------------------------------------------------- Small Cap Value Fund, Class I 10.41% 13.69% 18.87% 9.38% 13.12% - -------------------------------------------------------------------------------- Comparison of Change in the Value of a $100,000 Investment in the Small Cap Value Fund, Class A and Class I, versus the Russell 2000 Value Index [THE FOLLOWING TABLE WAS REPRESENTED BY A LINE GRAPH IN THE PRINTED MATERIAL.] Small Cap Value Small Cap Value Russell 2000 Fund, Class A Fund, Class I Value Index 9/30/97 $100,000 $100,000 $100,000 9/30/98 86,320 85,930 87,210 9/30/99 90,179 89,488 92,294 9/30/00 104,373 103,054 106,471 9/30/01 107,629 105,877 112,444 9/30/02 105,261 103,262 110,802 9/30/03 136,082 133,115 145,882 9/30/04 171,014 166,780 183,315 9/30/05 207,286 201,604 215,854 9/30/06 228,719 221,986 246,095 9/30/07 253,192 245,095 261,082 1 For the period ended 9/30/07. Past performance is no indication of future performance. Class I Shares performance for the period prior to 2/11/02 is performance derived from the performance of the Class A Shares. The performance of Class I Shares may be lower than the performance of Class A Shares because of different distribution fees paid by Class I shareholders. Class A Shares were offered beginning 12/20/94 and Class I Shares were offered beginning 2/11/02. Returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. The returns for certain periods reflect fee waivers and/or reimbursements in effect for that period; absent fee waivers and reimbursements, performance would have been lower. - -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Annual Report / September 30, 2007 11 MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE SEI INSTITUTIONAL MANAGED TRUST -- SEPTEMBER 30, 2007 Small Cap Growth Fund Objective The Small Cap Growth Fund (the "Fund") seeks to provide long-term capital appreciation by investing in equity securities of smaller companies. The Fund invests in the stocks of companies that have significant growth potential in light of such characteristics as revenue and earnings growth and positive earnings surprises. Strategy With respect to this Fund, SEI Investments Management Corporation ("SIMC") employs a multi-manager structure to gain exposure to the entire universe of small cap growth stocks, adding value through stock selection while minimizing risk in the form of capitalization, valuation and economic sector exposures. The Fund is jointly sub-advised by eight investment managers. Assets of the Fund are strategically allocated among its seven sub-advisers, each of which has a responsibility for stock selection for its respective assets under management. Through various investment approaches, each sub-adviser contributes a particular expertise or sub-style to the Fund. Mazama Capital Management invests primarily in stocks entering extended periods of growth not yet understood by the market. Wellington Management Company focuses on companies that demonstrate growth at reasonable prices. Delaware Management Company focuses on companies with sustainable growth models that are attractively valued. Lee Munder Investments seeks companies growing faster than the market while demonstrating skill in their ability to differentiate an attractive stock from a good company. McKinley Capital Management emphasizes acceleration of the growth rate of companies relative to the market's expectations and companies with positive earnings surprises. Martingale Asset Management employs a systematic approach focused on relative valuation, sustainable growth, and management quality. PanAgora Asset Management provides broad coverage over the investment universe by applying disciplined processes in which each stock is given a unique weighting to factors such as growth, value, and beta. The stocks are then evaluated based on their unique factor weightings and the performance of those and other factors in the marketplace. Each of the aforementioned sub-styles assumes a different importance in determining overall style risk and must therefore be weighted accordingly. Analysis For the 12 months ending September 30, 2007, the Russell 2000 Growth Index (the "Index") gained 18.94%. The information technology sector was the biggest contributor to the performance of the Index over the past year: significant merger and acquisition activity and increased corporate capital expenditures on software and services boosted returns. The materials and utilities sectors both posted excellent returns on climbing commodity prices amid growing global demand. Beginning in early 2007, financials stocks experienced a substantial drop in performance: banks suffered as investors became concerned over credit risk on subprime residential loans, and REITs gave back most of their fourth quarter 2006 gains as the housing market slowed. Many consumer discretionary stocks, especially those in retailing, lagged the Index for the period as investors worried about consumer spending in the face of tighter credit conditions and rising gas prices. The Small Cap Growth Fund, Class A, posted returns of 18.05% over the last 12 months. Positive stock selection in the consumer discretionary sector was mitigated by securities in the health care and information technology areas. Four of the growth managers, outperformed the broad market. Lee Munder Investments exhibited excellent security selection in the information technology and industrials sectors, allowing it to achieve excess returns. An overweight to the metals and mining industry helped Wellington Management Company to beat the broad market, and McKinley Capital Management's exposure to high price momentum stocks lifted its returns above the benchmark. Quantitative managers PanAgora Asset Management and Martingale Asset Management lagged the Index following a difficult summer in 2007 during which hedge fund managers had placed selling pressure on valuation-sensitive stocks which these managers typically hold. During the fiscal year, SIMC added PanAgora Asset Management as a sub-adviser to the portfolio. - -------------------------------------------------------------------------------- 12 SEI Institutional Managed Trust / Annual Report / September 30, 2007 MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE SEI INSTITUTIONAL MANAGED TRUST -- SEPTEMBER 30, 2007 Small Cap Growth Fund: AVERAGE ANNUAL TOTAL RETURN 1 - -------------------------------------------------------------------------------- Annualized Annualized Annualized Annualized One Year 3 Year 5 Year 10 Year Inception Return Return Return Return to Date - -------------------------------------------------------------------------------- Small Cap Growth Fund, Class A 18.05% 13.11% 17.89% 6.02% 11.74% - -------------------------------------------------------------------------------- Small Cap Growth Fund, Class I 17.74% 12.82% 17.60% 5.68% 11.39% - -------------------------------------------------------------------------------- Comparison of Change in the Value of a $100,000 Investment in the Small Cap Growth Fund, Class A and Class I, versus the Russell 2000 Growth Index [THE FOLLOWING TABLE WAS REPRESENTED BY A LINE GRAPH IN THE PRINTED MATERIAL.] Small Cap Growth Small Cap Growth Russell 2000 Fund, Class A Fund, Class I Growth Index 9/30/97 $100,000 $100,000 $100,000 9/30/98 73,470 73,170 75,170 9/30/99 113,879 112,923 99,698 9/30/00 176,831 174,568 129,268 9/30/01 101,094 99,451 74,213 9/30/02 78,742 77,224 60,736 9/30/03 115,491 112,979 86,075 9/30/04 123,922 120,955 96,335 9/30/05 146,191 142,292 113,646 9/30/06 151,921 147,528 120,329 9/30/07 179,343 173,699 143,119 1 For the period ended 9/30/07. Past performance is no indication of future performance. Class I Shares performance for the period prior to 8/6/01 is performance derived from the performance of the Class A Shares. The performance of Class I Shares may be lower than the performance of Class A Shares because of different distribution fees paid by Class I shareholders. Class A Shares were offered beginning 4/20/92 and Class I Shares were offered beginning 8/6/01. Returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. The returns for certain periods reflect fee waivers and/or reimbursements in effect for that period; absent fee waivers and reimbursements, performance would have been lower. - -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Annual Report / September 30, 2007 13 MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE SEI INSTITUTIONAL MANAGED TRUST -- SEPTEMBER 30, 2007 Tax-Managed Small Cap Fund Objective The investment objective of the Tax-Managed Small Cap Fund (the "Fund") is capital appreciation by investing in the equity securities of small companies. The Fund attempts to maximize after-tax returns to investors through investing in undervalued securities, selling stocks with the highest tax cost first and offsetting losses with gains where possible. Strategy With respect to this Fund, SEI Investments Management Corporation ("SIMC") employs a multi-manager structure to gain exposure to the entire small/mid cap universe, adding value through stock selection while minimizing risk in the form of capitalization, valuation and economic sector exposures. The Fund is jointly sub-advised by eight investment managers. Assets of the Fund are strategically allocated among the eight sub-advisers, each of which has a responsibility for stock selection for its respective assets under management. Through various investment approaches, each sub-adviser contributes a particular expertise or sub-style to the Fund. BlackRock Capital Management focuses on attractively valued companies with a near-term business catalyst. David J. Greene and Company looks for undervalued securities that are misunderstood by the marketplace. Delaware Management Company focuses on sustainable business models at attractive valuations. LSV Asset Management disciplined proprietary screening model ranks stocks based on price to book, price to cash flow, past sales performance, and likelihood of near-term appreciation. Mazama Capital Management invests primarily in stocks entering extended periods of growth not yet understood by the market. McKinley Capital Management emphasizes acceleration of the growth rate of companies relative to the market's expectations and companies with positive earnings surprises. Parametric Portfolio Associates invests in both value and growth small-cap stocks through a quantitative process which aggressively harvests tax-losses in the portfolio. Los Angeles Capital Management Equity Research relies on a disciplined systematic approach to both stock selection quantitative portfolio construction. The research process is focused on identifying investment characteristics and factors that will work consistently across a broad group of stocks. Analysis The Russell 2500 Index (the "Index") gained 15.17% during the fiscal year ending September 30, 2007. In a reversal of the long-running trend, growth components of the Index far outperformed value over the period. Industrials were the biggest contributor to the performance of the Index over the past year, as capital goods securities continued to rise. Energy rallied on the back of strong oil prices and heightened supply concerns, and materials posted excellent returns on climbing commodity prices amid growing global demand. Beginning in early 2007, financials stocks experienced a substantial drop in performance: banks suffered as investors became concerned over credit risk on subprime residential loans, and REITs gave back most of their fourth quarter 2006 gains as the housing market slowed. Consumer discretionary stocks, especially those in retailing, lagged the Index for the period as investors worried about consumer spending in the face of tighter credit conditions and rising gas prices. The Tax-Managed Small Cap Fund, Class A, gained 16.00% over the past 12 months. The benefit from the Fund's underweight to financials was mitigated by difficult stock selection in that area, but stock selection in the consumer discretionary sector elevated Fund performance above the broad market. On a manager level, David J. Greene and Company's superior stock selection in industrials and energy contributed to its outperformance, while Delaware Management Company performed the same feat with regard to consumer discretionary. McKinley Capital Management's exposure to high price momentum stocks lifted its returns above the benchmark. Quantitative manager LSV Asset Management lagged the benchmark for the fiscal year after struggling in the summer of 2007 as many valuation metrics exhibited negative returns. Mazama Capital Management was hurt by an underweight to materials and individual holdings in information technology. During the fiscal year, SIMC added Los Angeles Capital Management Equity Research as a sub-adviser to the portfolio. - -------------------------------------------------------------------------------- 14 SEI Institutional Managed Trust / Annual Report / September 30, 2007 MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE SEI INSTITUTIONAL MANAGED TRUST -- SEPTEMBER 30, 2007 Tax-Managed Small Cap Fund: AVERAGE ANNUAL TOTAL RETURN 1 - -------------------------------------------------------------------------------- Annualized Annualized Annualized One Year 3 Year 5 Year Inception Return Return Return to Date - -------------------------------------------------------------------------------- Tax-Managed Small Cap Fund, Class A 16.00% 13.92% 17.92% 8.16% - -------------------------------------------------------------------------------- Comparison of Change in the Value of a $100,000 Investment in the Tax-Managed Small Cap Fund, Class A, versus the Russell 2500 Index [THE FOLLOWING TABLE WAS REPRESENTED BY A LINE GRAPH IN THE PRINTED MATERIAL.] Tax-Managed Small Cap Fund, Class A Russell 2500 Index 10/31/00 $100,000 $100,000 09/30/01 81,561 83,511 09/30/02 75,460 77,290 09/30/03 100,083 104,797 9/30/04 116,396 124,195 9/30/05 140,607 150,636 9/30/06 148,340 163,892 9/30/07 172,075 188,754 1 For the period ended 9/30/07. Past performance is no indication of future performance. Fund shares were offered beginning 10/31/00. Returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. The returns for certain periods reflect fee waivers and/or reimbursements in effect for that period; absent fee waivers and reimbursements, performance would have been lower. - -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Annual Report / September 30, 2007 15 MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE SEI INSTITUTIONAL MANAGED TRUST -- SEPTEMBER 30, 2007 Small/Mid Cap Diversified Alpha Fund Objective The Small/Mid Cap Diversified Alpha Fund (the "Fund") seeks to provide long-term growth of capital and income by investing in the equity securities of small and mid-cap companies and in portfolio strategies designed to correlate to a portfolio composed of small- and mid-cap equity securities. While the Fund is expected to have an absolute return and risk profile similar to the broad U.S. small/mid cap equity market, returns may be derived in part from investing significant portions of the Fund in securities outside of the small/mid cap market. Strategy The Fund uses a multi-manager approach under the general supervision of SEI Investments Management Corporation ("SIMC"), allocating the assets among multiple sub-advisers that use different investment strategies to seek to achieve returns in excess of the performance of a broad U.S. large cap benchmark. This allocation among investment strategies aims to diversify the sources from which sub-advisers seek to achieve excess returns (i.e., returns in excess of a benchmark index), and thereby diversify the relative risk of the Fund. Some sub-advisers may engage in short sales up to 30% of the value of their Fund allocation and use the proceeds from the sale to purchase long positions in additional equity securities. Some sub-advisers may also use portfolio strategies that are designed to correlate with a portfolio of small/mid cap equity securities, but which are composed of derivative instruments backed by other types of securities. Los Angeles Capital Management and Equity Research, Martingale Asset Management, and PanAgora Asset Management seek to overweight stocks with attractive fundamental and/or technical characteristics and underweight with unattractive fundamental and/or technical characteristics. All three sub-advisers use quantitative techniques to identify stock characteristics or factors that they believe are predictive of future outperformance, although the specific factors, definition of the factors and the factor weights in the model vary from sub-adviser to sub-adviser. Integrity Asset Management uses a blend of qualitative and quantitative elements at each step of their process and focuses on the timing of purchases to avoid value traps. Wellington Management Company focuses on companies that demonstrate growth at reasonable prices. Smith Breeden Associates seeks to generate alpha within the U.S. fixed income market and transports it to the equity market. Analysis The Small/Mid Cap Diversified Alpha Fund, Class A, gained 1.71% for period December 20, 2006 through September 30, 2007, which represents the inception date of the Fund through the fiscal year-end. In a reversal of the long-running trend, growth components of the Russell 2500 Index (the "Index") far outperformed value over the period. Industrials were the biggest contributor to the performance of the Index over the past year, as capital goods securities continued to rise. Energy rallied on the back of strong oil prices and heightened supply concerns, and materials posted excellent returns on climbing commodity prices amid growing global demand. Beginning in early 2007, financials stocks experienced a substantial drop in performance: banks suffered as investors became concerned over credit risk on subprime residential loans, and REITs gave back most of their fourth quarter 2006 gains as the housing market slowed. Consumer discretionary stocks, especially those in retailing, lagged the Index for the period as investors worried about consumer spending in the face of tighter credit conditions and rising gas prices. The Fund trailed the overall small/mid cap equity market for the period. PanAgora Asset Management and Martingale Asset Management struggled, particularly in August, as quantitative strategies due to forced liquidations from other levered quantitative funds. Stocks with value-oriented characteristics significantly underperformed in August, which hurt both sub-advisers. These sub-advisers also have the ability to short-sell up to 30% of their portfolios and re-invest the proceeds into additional long securities. This added flexibility modestly detracted from results. Although Los Angeles Capital Management and Equity Research also gave up some ground over the summer, it ended the fiscal period ahead due to its strong outperformance early in the year. Los Angeles Capital Management and Equity Research had less of an exposure to value-oriented factors, so they were able to hold onto most of their gains during the sharp growth/value reversal that occurred in the third quarter. - -------------------------------------------------------------------------------- 16 SEI Institutional Managed Trust / Annual Report / September 30, 2007 MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE SEI INSTITUTIONAL MANAGED TRUST -- SEPTEMBER 30, 2007 Wellington Management Company benefited from its growth orientation as well as its overweight to the materials sector which enjoyed strong gains. Integrity outperformed value-oriented stocks, although was roughly in-line with the overall small/mid market as value-oriented stocks trailed for the period. Smith Breeden Associates underperformed for the period as the subprime crisis impacted their A-rated and above mortgage-backed security holdings. In addition, corporate and asset-backed securities experienced negative returns as compared to comparable treasury securities, which also negatively impacted Smith Breeden Associates. The derivative strategy used to gain small/mid cap equity exposure modestly outperformed the actual Index due to favorable derivative supply/demand characteristics and pricing for the period. There were no sub-adviser changes during the fiscal year. Small/Mid Cap Diversified Alpha Fund: AVERAGE ANNUAL TOTAL RETURN 1 - -------------------------------------------------------------------------------- Cumulative Inception to Date - -------------------------------------------------------------------------------- Small/Mid Cap Diversified Alpha Fund, Class A 1.71% - -------------------------------------------------------------------------------- Comparison of Change in the Value of a $100,000 Investment in the Small/Mid Cap Diversified Alpha Fund, Class A, versus the Russell 2500 Index [THE FOLLOWING TABLE WAS REPRESENTED BY A LINE GRAPH IN THE PRINTED MATERIAL.] Small/Mid Cap Diversified Alpha Fund, Class A Russell 2500 Index 12/20/06 $100,000 $100,000 9/30/07 101,711 105,941 1 For the period ended 9/30/07. Past performance is no indication of future performance. Fund Shares were offered beginning 12/20/06. Returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. The returns for certain periods reflect fee waivers and/or reimbursements in effect for that period; absent fee waivers and reimbursements, performance would have been lower. - -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Annual Report / September 30, 2007 17 MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE SEI INSTITUTIONAL MANAGED TRUST -- SEPTEMBER 30, 2007 Mid-Cap Fund Objective The Mid-Cap Fund (the "Fund") seeks to provide long-term capital appreciation by investing primarily in equity securities of mid-sized companies in a core style. Strategy Martingale Asset Management employs a systematic approach focused on valuation, relative performance and management quality. They select stocks of companies that have low price-earnings ratios and price-book ratios, but that also have high sustainable growth levels and the probability of high positive earnings revisions. Quantitative Management Associates believes that markets are largely efficient, but investors make occasional, systematic mistakes and that quantitative investment processes that reduce the influence of biases on investment decisions more effectively identify and exploit these mistakes. Quantitative Management Associates emphasizes different measures depending on the growth rate of a company to identify and exploit mispriced stocks. Analysis The Russell Mid-Cap Index (the "Index") continued its upward track, gaining 17.87% for the fiscal year ending September 30, 2007. Industrials were the biggest contributor to the performance of the Index over the past year, as capital goods securities continued to rise. Energy rallied on the back of strong oil prices and heightened supply concerns, and materials posted excellent returns on climbing commodity prices amid growing global demand. Beginning in early 2007, financials stocks experienced a substantial drop in performance: banks suffered as investors became concerned over credit risk on sub-prime residential loans, and REITs gave back most of their fourth quarter 2006 gains as the housing market slowed. Consumer discretionary stocks, especially those in consumer durables and apparel, lagged the Index for the period as investors worried about consumer spending in the face of tighter credit conditions and rising gas prices. The Mid-Cap Fund, Class A, posted a return of 17.51% over the prior 12 months. The Fund benefited from an overweight to the surging materials area and an underweight to the lagging consumer discretionary sector, although difficult stock selection in the latter mitigated much of the gain. Positive stock selection in industrials and health care boosted returns, while individual securities in utilities detracted. Martingale Asset Management's exposure to price momentum was beneficial, although their bets on companies with high cash flow yield hurt them during the period. Going forward, the portfolio will continue to be broadly diversified across all sectors and will provide exposure to mid cap stocks in the domestic equity stock market. During the fiscal year, SEI Investments Management Corporation added Quantitative Management Associates as a sub-advisor to the portfolio. Mid-Cap Fund: AVERAGE ANNUAL TOTAL RETURN 1 - -------------------------------------------------------------------------------- Annualized Annualized Annualized Annualized One Year 3 Year 5 Year 10 Year Inception Return Return Return Return to Date - -------------------------------------------------------------------------------- Mid-Cap Fund, Class A 17.51% 17.78% 20.82% 9.63% 12.44% - -------------------------------------------------------------------------------- Comparison of Change in the Value of a $100,000 Investment in the Mid-Cap Fund, Class A, versus the Russell Mid-Cap Index [THE FOLLOWING TABLE WAS REPRESENTED BY A LINE GRAPH IN THE PRINTED MATERIAL.] Mid-Cap Fund, Class A Russell Mid-Cap Index 9/30/97 $100,000 $100,000 9/30/98 84,590 93,990 9/30/99 98,573 112,271 9/30/00 125,325 147,771 9/30/01 100,774 114,730 9/30/02 97,408 104,427 9/30/03 125,579 138,501 9/30/04 153,495 166,963 9/30/05 196,704 208,871 9/30/06 213,424 228,860 9/30/07 250,794 269,757 1 For the period ended 9/30/07. Past performance is no indication of future performance. Fund shares were offered beginning 2/16/93. Returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. The returns for certain periods reflect fee waivers and/or reimbursements in effect for that period; absent fee waivers and reimbursements, performance would have been lower. - -------------------------------------------------------------------------------- 18 SEI Institutional Managed Trust / Annual Report / September 30, 2007 MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE SEI INSTITUTIONAL MANAGED TRUST -- SEPTEMBER 30, 2007 U.S. Managed Volatility Fund Objective The U.S. Managed Volatility Fund (the "Fund") invests in common stocks and other equity securities and employs a broad range of investment strategies intended to generate capital appreciation, but with a lower level of volatility than the broad U.S. equity markets. Strategy The Fund uses a multi-manager approach, relying on a number of sub-advisers with differing investment approaches to manage portions of the Fund's portfolio under the general supervision of SEI Investments Management Corporation ("SIMC"). Each sub-adviser, in managing its portion of the Fund's assets, employs various investment strategies intended to achieve returns similar to that of the broad U.S. equity markets, but with a lower level of volatility over the long-term. The Fund seeks to achieve lower volatility by constructing a portfolio of securities that effectively weights securities based on their total expected risk and return, without regard to market capitalization, industry or tracking error targets relative to the broad market. As such, the Fund is expected to have meaningful differentiations in terms of sector weights and short-term performance relative to broad market indices. The Fund utilizes Aronson + Johnson + Ortiz and Analytic Investors as sub-advisers, each brings a differentiated investment and risk model. Analysis The U.S. Managed Volatility Fund, Class A, returned 16.09% for the fiscal year ended September 30, 2007. The S&P 500 Index returned 16.44% for the fiscal year ended September 30, 2007. U.S. stocks rallied strongly during the fiscal year returning close to 17% for the one year ending September 30, 2007 as measured by the Russell 3000 Index. Investors were encouraged by strong global economic growth and seemed to adjust well to slowing growth in the U.S. following record double digit growth for multiple prior quarters. The rally came in spite of rising oil prices to above $80 a barrel as well as weakness in housing and ongoing sub-prime fears. The fiscal year started out on a strong note as large cap stocks rallied for the first several months on strong global economic news, low unemployment and a continued torrid pace of merger and acquisition and private equity activity. Investors pushed through a temporary setback in late February when the market fell by 3.5% in a single day. Subprime fears came to a head in late July and early August, when credit markets seized up and spilled over into equity markets sending the broader market down close to 10% from the mid-July peaks to mid-August. This market weakness tended to hit quantitative managers the hardest due to what we believe to be a shift in capital market flows and hedge fund trading. Once again, however, markets regained their footing as global central banks injected liquidity into financial markets, and investors began to price in a 25 basis points or 50 basis points rate cut by the U.S. Federal Reserve. By the end of September, markets were once again approaching new highs. The energy and materials sectors, within the U.S. market, continued to lead markets as both returned approximately 40% for the fiscal year. Energy rallied on the back of strong oil prices and heightened supply concerns. The financials sector was the significant underperformer; weighed down by subprime fallout. Thrifts and mortgage finance, consumer finance, as well as the large money center banks were among the weakest performers. The fiscal year witnessed the reversal of two significant and long-running trends in the U.S. equity market: the under-performance of growth and the underperformance of megacaps. The Russell 1000 Growth Index outpaced the Russell 1000 Value Index by close to 5% as both stronger growing and more expensive stocks, as measured by P/E, outperformed. Although the largest 10% and 20% of the stock universe performed slightly below the broad market for the entire fiscal year, these stocks staged a sharp comeback starting in the third fiscal quarter. Given the Fund is not managed against a specific benchmark, we would expect it to vary significantly from the broad market performance on a shorter-term basis. In particular, the Fund generally favors stocks with relatively low beta to the overall equity market, such as utilities and consumer staples, and largely avoids stocks with high beta, such as information technology. We would expect the Fund to have a difficult time keeping up with strongly rallying markets. Given the close to 17% return for the broad market during this period, we are pleased with the portfolio performance. For the fiscal period, being underweight the rallying energy and information technology sectors had a negative impact on portfolio relative performance. However, this was largely offset by the positive impact of an underweight financials and consumer discretionary. There were no sub-adviser changes during the fiscal year. - -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Annual Report / September 30, 2007 19 MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE SEI INSTITUTIONAL MANAGED TRUST -- SEPTEMBER 30, 2007 U.S. Managed Volatility Fund: AVERAGE ANNUAL TOTAL RETURN 1 - -------------------------------------------------------------------------------- Annualized One Year Inception Return to Date - -------------------------------------------------------------------------------- U.S. Managed Volatility Fund, Class A 16.09% 13.18% - -------------------------------------------------------------------------------- U.S. Managed Volatility Fund, Class I 15.53% 12.70% - -------------------------------------------------------------------------------- Comparison of Change in the Value of a $150,000 Investment in the U.S. Managed Volatility Fund, Class A and Class I, versus the S&P 500 Index [THE FOLLOWING TABLE WAS REPRESENTED BY A LINE GRAPH IN THE PRINTED MATERIAL.] U.S. Managed Volatility U.S. Managed Volatility S&P 500 Fund, Class A Fund, Class I Index 10/28/04 $150,000 $150,000 $150,000 9/30/05 172,385 171,738 166,245 9/30/06 185,555 184,189 184,183 9/30/07 215,411 212,794 214,462 1 For the period ended 9/30/07. Past performance is no indication of future performance. Class I Shares performance for the period prior to 6/29/07 is performance derived from the performance of the Class A Shares. The performance of the Class I Shares may be lower then the performance of the Class A Shares because of different distribution fees paid by Class I shareholders. Class A Shares were offered beginning 10/28/04 and Class I Shares were offered beginning 6/29/07. Returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. The returns for certain periods reflect fee waivers and/or reimbursements in effect for that period; absent fee waivers and reimbursements, performance would have been lower. - -------------------------------------------------------------------------------- 20 SEI Institutional Managed Trust / Annual Report / September 30, 2007 MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE SEI INSTITUTIONAL MANAGED TRUST -- SEPTEMBER 30, 2007 Global Managed Volatility Fund Objective The Global Managed Volatility Fund (the "Fund") invests in common stocks and other equity securities and employs a broad range of investment strategies intended to generate capital appreciation, but with a lower level of volatility than the broad global equity market. Strategy The Fund uses a multi-manager approach, relying on a number of sub-advisers with differing investment approaches to manage portions of the Fund's portfolio under the general supervision of SEI Investments Management Corporation ("SIMC"). Each sub-adviser, in managing its portion of the Fund's assets, employs various investment strategies intended to achieve returns similar to that of the broad global equity markets, but with a lower level of volatility over the long-term. The Fund seeks to achieve lower volatility by constructing a portfolio of securities that effectively weights securities based on their total expected risk and return, without regard to market capitalization, industry or tracking error targets relative to the broad market. As such, the Fund is expected to have meaningful differentiations in terms of sector weights and short-term performance relative to broad market indices. The Fund utilizes Acadian Asset Management and Analytic Investors as sub-advisers, each brings a differentiated investment and risk model. Analysis The Global Managed Volatility Fund, Class A, returned 9.88% for the fiscal year period ending September 30, 2007. The Morgan Stanley MSCI World Index returned 21.10% for the fiscal year ended September 30, 2007. Global stocks rallied strongly during the fiscal year returning 18% in U.S. dollar hedged terms as measured by the Morgan Stanley World Index hedged into U.S. dollars for the one year ending September 30, 2007. Investors were encouraged by strong global economic growth and seemed to adjust well to slowing growth in the U.S. following record double digit growth for multiple prior quarters. The rally came in spite of rising oil prices to above $80 a barrel as well as weakness in housing and ongoing sub-prime fears. The fiscal year started out on a strong note as stocks rallied for the first several months on strong global economic news and a continued torrid pace of merger and acquisition and private equity activity. Investors pushed through a temporary setback in late February when the U.S. market fell by 3.5% in a single day. U.S. subprime fears came to a head in late July and early August, when credit markets seized up and spillover into equity markets sent the broad market down sharply from the mid-July peaks to mid-August. This market weakness tended to hit quantitative managers the hardest due to what we believe to be a shift in capital market flows and hedge fund trading. Once again however, markets regained their footing as global central banks injected liquidity into financial markets. The energy and materials sectors, within the global market, continued to lead markets as these sectors returned 36 and 53% respectively. The financials sector was the significant underperformer weighed down by the consumer finance and mortgage finance companies. Given the Fund is not managed against a specific benchmark, we would expect it to vary significantly from the broad market performance on a shorter-term basis. In particular, the Fund generally favors stocks with relatively low beta to the overall equity market, such as utilities, health care, and consumer staples, and largely avoids stocks with high beta, such as information technology. For the fiscal period, the portfolio suffered from negative sector allocation. In particular, the portfolio was significantly underweight the more cyclical areas of the market including the materials, energy and industrials sectors that rallied sharply during the fiscal year. The positive impact of being underweight the lagging financials sectors helped to mitigate relative losses. There were no sub-adviser changes during the fiscal year. - -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Annual Report / September 30, 2007 21 MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE SEI INSTITUTIONAL MANAGED TRUST -- SEPTEMBER 30, 2007 Global Managed Volatility Fund: AVERAGE ANNUAL TOTAL RETURN 1 - -------------------------------------------------------------------------------- Annualized One Year Inception Return to Date - -------------------------------------------------------------------------------- Global Managed Volatility Fund, Class A 9.88% 11.73% - -------------------------------------------------------------------------------- Global Managed Volatility Fund, Class I 9.37% 11.18% - -------------------------------------------------------------------------------- Comparison of Change in the Value of a $100,000 Investment in the Global Managed Volatility Fund, Class A and Class I, versus the Morgan Stanley MSCI World Index [THE FOLLOWING TABLE WAS REPRESENTED BY A LINE GRAPH IN THE PRINTED MATERIAL.]
Global Managed Volatility Global Managed Volatility Morgan Stanley MSCI Fund, Class A Fund, Class I World Index 7/27/06 $100,000 $100,000 $100,000 9/30/06 103,698 103,586 104,901 9/30/07 113,943 113,292 127,035
1 For the period ended 9/30/07. Past performance is no indication of future performance. Class I Shares performance for the period prior to 6/29/07 is performance derived from the performance of the Class A Shares. The performance of the Class I Shares may be lower then the performance of the Class A Shares because of different distribution fees paid by Class I shareholders. Class A Shares were offered beginning 7/27/06 and Class I Shares were offered beginning 6/29/07. Returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. The returns for certain periods reflect fee waivers and/or reimbursements in effect for that period; absent fee waivers and reimbursements, performance would have been lower. - -------------------------------------------------------------------------------- 22 SEI Institutional Managed Trust / Annual Report / September 30, 2007 MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE SEI INSTITUTIONAL MANAGED TRUST -- SEPTEMBER 30, 2007 Real Estate Fund Objective The Real Estate Fund (the "Fund") seeks to provide total return including current income and capital appreciation by investing in real estate securities. Strategy With respect to this Fund, SEI Investments Management Corporation ("SIMC") employs a multi-manager structure to gain exposure to the entire real estate sector in the U.S. The Fund is non-diversified and expects to hold a small number of securities, thus increasing the importance of each holding. The Fund will invest at least 80% of its net assets in equity securities of real estate investment trusts ("REITs") and real estate operating companies. The Fund is jointly sub-advised by two investment managers. Assets of the Fund are strategically allocated among its two sub-advisors, each of which has a responsibility for stock selection for its respective assets under management. Through various investment approaches, each sub-adviser contributes a particular expertise or sub-style to the Fund. Security Capital Research and Management integrates research on real estate sub-market analysis with fundamental company analysis to find attractively priced securities. Wellington Management Company utilizes a unique risk/reward relative valuation assessment to identify attractive real estate investments. Analysis The Wilshire Real Estate Securities (Full Cap) Index (the "Index") rose 3.87% for the year ending September 30, 2007. The real estate segment of the market experienced a broad based slowdown in spring 2007, with all industries posting a negative return for that period. Two of the largest detractors from the Index's performance during the fiscal year were the apartment and self storage industries, while the regional malls industry was a major contributor. Mall REITs benefited as continuing strong demand for retail space drove rent spreads higher. Apartment REITs suffered due to an inventory glut, as slowing home sales increased vacancy rates. The Real Estate Fund, Class A, returned 5.49% over the past 12 months. The Fund saw broad based solid performance, besting the benchmark in nine of the twelve sectors. Wellington Management Company had substantial influence on the Fund, adding to returns through stock selection in hotels and an underweight to the lagging apartments industry. The manager's overweight to the outperforming health care area also boosted performance. Security capital saw flat returns for the period, as an overweight to health care was mitigated by difficult stock selection in the office industry. Real Estate Fund: AVERAGE ANNUAL TOTAL RETURN 1 - -------------------------------------------------------------------------------- Annualize Annualized One Year 3 Year Inception Return Return to Date - -------------------------------------------------------------------------------- Real Estate Fund, Class A 5.49% 21.38% 21.96% - -------------------------------------------------------------------------------- Comparison of Change in the Value of a $100,000 Investment in the Real Estate Fund, Class A, versus the Wilshire Real Estate Securities (Full Cap) Index [THE FOLLOWING TABLE WAS REPRESENTED BY A LINE GRAPH IN THE PRINTED MATERIAL.] Real Estate Fund, Wilshire Real Estate Securities Class A (Full Cap) Index 11/13/03 $100,000 $100,000 9/30/04 120,812 120,286 9/30/05 157,019 154,797 9/30/06 204,815 198,651 9/30/07 216,060 206,338 1 For the period ended 9/30/07. Past performance is no indication of future performance. Fund shares were offered beginning 11/13/03. Returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. The returns for certain periods reflect fee waivers and/or reimbursements in effect for that period; absent fee waivers and reimbursements, performance would have been lower. - -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Annual Report / September 30, 2007 23 MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE SEI INSTITUTIONAL MANAGED TRUST -- SEPTEMBER 30, 2007 Enhanced Income Fund Objective Using multiple sub-advisers, the Enhanced Income Fund (the "Fund") seeks to provide an enhanced return above LIBOR (London InterBank Offered Rate). Strategy The Fund investment strategy focuses on generating absolute return through the management of securities in multiple asset classes, including currency management. The Fund's managers employ security selection to invest in a diversified portfolio of short duration investment grade and non-investment grade fixed-income securities, including bank loans. Active currency management is also utilized to enhance long term performance. Analysis Over the last 12 months, the dynamics and performance of the fixed income markets changed dramatically as the severe housing slowdown went from being a subprime mortgage issue to a full blown liquidity and credit crunch. Escalating concerns about the potential negative effects on economic growth and credit conditions prodded the Federal Reserve to cut the Fed Funds rate by 0.50% in September and other central banks to likewise provide vast amount of liquidity to their financial systems. As of September 30, 2007, short term U.S. interest rates were lower by 70 basis points and the U.S. dollar weakened considerably versus other major currencies. Every major fixed income asset class was negatively affected by the tumult, but especially those associated with residential real estate. Investors went on a buyers strike and refused to purchase anything even remotely associated with mortgage loans. The rating agencies added to the negative mix by downgrading or watch-listing hundreds of deals. The cessation of liquidity spilled to the corporate market, pushing spreads wider by 50 to 150 basis points. Valuations plummeted regardless of quality or structure, causing severe mark-to-markets that forced hedge fund and other levered investors to sell high quality assets (i.e. AAA rated) to meet margin calls and enhance their liquidity. Financial institutions cautiously protected their own balance sheets and balked at providing liquidity to their peers and others. Short term markets effectively ceased functioning, causing LIBOR rates to skyrocket in early September to 5.73% before gradually returning to 5.23% by September 30, 2007. The Enhanced Income Fund, Class A, posted a 2.96% return for the year ended September 30, 2007. The Fund did not keep pace with LIBOR during the fiscal year. After producing good results in the first 9 months, the Fund's strategy struggled in Q3 2007 with the severe dislocation in the fixed income markets. The enhanced cash strategy was penalized due to its allocation to the structured (asset-backed securities and mortgage-backed securities) and investment grade credit sectors, while the bank loan strategy lagged due to risk-repricing and illiquidity in the market due to forced liquidations by bank loan funds. Unsold inventory on dealers' balance sheets added to the negative technical conditions in the loan market. However, from a fundamental standpoint, the loan market is in good shape with defaults at all-time low levels, ending the year at 0.30%. The currency strategy led the benchmark for the fiscal year; however, some gains were given up in Q3 as the carry trade unwound with higher yielding currencies underperforming lower yielding ones. Winning strategies included a long position in British Pound Sterling, Australian Dollar, and New Zealand Dollar and short positions in Japanese Yen and the Swiss Franc. - -------------------------------------------------------------------------------- 24 SEI Institutional Managed Trust / Annual Report / September 30, 2007 MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE SEI INSTITUTIONAL MANAGED TRUST -- SEPTEMBER 30, 2007 Enhanced Income Fund: AVERAGE ANNUAL TOTAL RETURN 1 - -------------------------------------------------------------------------------- Annualized One Year Inception Return to Date - -------------------------------------------------------------------------------- Enhanced Income Fund, Class A 2.96% 3.46% - -------------------------------------------------------------------------------- Enhanced Income Fund, Class I 2.24% 2.76% - -------------------------------------------------------------------------------- Comparison of Change in the Value of a $100,000 Investment in the Enhanced Income Fund, Class A and Class I, versus the 3-Month LIBOR Index [THE FOLLOWING TABLE WAS REPRESENTED BY A LINE GRAPH IN THE PRINTED MATERIAL.] Enhanced Income Enhanced Income 3-Month LIBOR Fund, Class A Fund, Class I Index 7/27/06 $100,000 $100,000 $100,000 9/30/96 101,103 101,002 100,927 9/30/07 104,095 103,265 106,347 1 For the period ended 9/30/07. Past performance is no indication of future performance. Class I Shares performance for the period prior to 6/29/07 is performance derived from the performance of the Class A Shares.The performance of Class I Shares may be lower than the performance of Class A Shares because of different distribution fees paid by Class I shareholders. Class A Shares were offered beginning 7/27/06 and Class I Shares were offered beginning 6/29/07. Returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. The returns for certain periods reflect fee waivers and/or reimbursements in effect for that period; absent fee waivers and reimbursements, performance would have been lower. - -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Annual Report / September 30, 2007 25 MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE SEI INSTITUTIONAL MANAGED TRUST -- SEPTEMBER 30, 2007 Core Fixed Income Fund Objective The Core Fixed Income Fund (the "Fund") seeks to provide current income and preservation of capital. Strategy The Fund's investment strategy focuses on sector rotation, both among and within sectors, and issue selection. Risk is principally controlled by explicitly limiting fund interest rate exposure relative to the Lehman Aggregate Bond Index. The Fund's sub-advisers focus on four key areas in determining portfolio structure: duration weighting, term structure, sector allocation and issue selection. While the duration and term structure decision underlie the implementation process, the sub-advisers primarily concentrate on sector and issue selection to add value. In addition, the sub-advisers may engage in currency transactions using futures, foreign currency forward contracts and other derivatives either to seek to hedge the Fund's currency exposure or to enhance the Fund's return. This Fund also allows tactical allocation to high yield and emerging markets debt. Analysis The U.S. investment grade bond market returned 5.13% for the fiscal year ended September 30, 2007, as measured by the Lehman Aggregate Bond Index. The Core Fixed Income Fund, Class A, posted a 4.00% return for the same period. Over the last 12 months, two and ten year Treasury yields declined by 0.70% and 0.04% respectively. Yields fell for the majority of the period as investors expected the U.S. Federal Reserve to ease monetary policy. This was exacerbated by the subprime turmoil in 2007 as a flight to quality ensued and liquidity dried up. The surprise 50 basis points easing of the Fed Funds rate (market expectations were for 25 basis points) went a long way in restoring confidence and maneuverability to bond investors. Other central banks helped to calm investors as well by likewise providing vast amounts of liquidity to their financial systems. These shifts in interest rates caused the slope of the yield curve (or the difference between ten year Treasury yields and two year Treasury yields) to steepen by 0.66%. The behavior of the spread sectors was worse than U.S. Treasuries and all spread sectors underperformed equivalently matched Treasuries during the period. Investors went on a buyers strike and refused to purchase anything even remotely associated with subprime mortgage loans. In a "liquidity squeeze" high quality securities are the easiest investments for investors to sell and that's exactly what drove agency the mortgage-backed securities ("MBS") and commercial mortgage-backed securities ("CMBS") prices lower. The brunt of underperformance took place in the third quarter of 2007 as the so called "contagion" spread to all areas of the market. Corporate bonds suffered as well with liquidity evaporating and the new issue market shutting down. The asset-backed security ("ABS") sector was hurt the most by the higher volatility and repricing of risk with the home equity sub-sector contributing to the majority of underperformance. Throughout most of 2006, spreads for ABS continued to move tighter despite significant new issuance due to unprecedented demand from non traditional investors, including hedge funds and collateralized debt obligations. This reversed in 2007 as the housing market slowed and we saw increased delinquencies and foreclosures. The Fund's interest rate positioning contributed to performance for the period while sector allocations had an adverse impact. The overall underweight to the corporate sector helped the Fund; however, an allocation to higher beta corporates at the long end of the curve more than offset the sector call. The material overweights to the structured sectors, MBS, CMBS and ABS were the prime reasons for trailing returns versus the benchmark. Security selection, especially in asset-backed sector of the market, also played a significant role in the Fund's negative excess performance. - -------------------------------------------------------------------------------- 26 SEI Institutional Managed Trust / Annual Report / September 30, 2007 MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE SEI INSTITUTIONAL MANAGED TRUST -- SEPTEMBER 30, 2007 Core Fixed Income Fund: AVERAGE ANNUAL TOTAL RETURN 1 - -------------------------------------------------------------------------------- Annualized Annualized Annualized Annualized One Year 3 Year 5 Year 10 Year Inception Return Return Return Return to Date - -------------------------------------------------------------------------------- Core Fixed Income Fund, Class A 4.00% 3.48% 4.28% 5.71% 6.87% - -------------------------------------------------------------------------------- Core Fixed Income Fund, Class I 3.74% 3.22% 4.02% 5.35% 6.43% - -------------------------------------------------------------------------------- Comparison of Change in the Value of a $100,000 Investment in the Core Fixed Income Fund, Class A and Class I, versus the Lehman Aggregate Bond Index [THE FOLLOWING TABLE WAS REPRESENTED BY A LINE GRAPH IN THE PRINTED MATERIAL.] Core Fixed Income Core Fixed Income Lehman Aggregate Fund, Class A Fund, Class I Bond Index 9/30/97 $100,000 $100,000 $100,000 9/30/98 111,420 110,850 111,510 9/30/99 110,350 109,265 111,097 9/30/00 118,042 116,323 118,863 9/30/01 133,387 131,050 134,256 9/30/02 141,244 138,297 145,802 9/30/03 150,608 147,106 153,690 9/30/04 157,205 153,167 159,346 9/30/05 161,654 156,966 163,807 9/30/06 167,473 162,365 169,819 9/30/07 174,172 168,438 178,531 1 For the period ended 9/30/07. Past performance is no indication of future performance. Class I Shares performance for the period prior to 8/6/01 is performance derived from the performance of the Class A Shares.The performance of Class I Shares may be lower than the performance of Class A Shares because of different distribution fees paid by Class I shareholders. Class A Shares were offered beginning 5/1/87 and Class I Shares were offered beginning 8/6/01. Returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. The returns for certain periods reflect fee waivers and/or reimbursements in effect for that period; absent fee waivers and reimbursements, performance would have been lower. - -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Annual Report / September 30, 2007 27 MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE SEI INSTITUTIONAL MANAGED TRUST -- SEPTEMBER 30, 2007 High Yield Bond Fund Objective The investment objective of the High Yield Bond Fund (the "Fund") is to maximize total return by investing primarily in a diversified portfolio of higher yielding, lower rated fixed income securities. The strategy seeks to achieve a high level of total return through sector rotation and security selection. Strategy Fund strategy is to identify high yield market sectors and securities that offer investment opportunities through the analysis of macroeconomic, interest rate, industry, and technical factors. Those companies that are best suited to benefit from the identified trends are then selected for investment. Risk is controlled through a high level of diversification, and by performing detailed and ongoing credit analysis on the companies considered and purchased. Analysis The Merrill Lynch U.S. High Yield Master II Constrained Index posted a 7.79% return during the 12-month period ending September 30, 2007, as default rates hovered near all-time lows and corporate fundamentals remained in good shape. Cable was the top performing sector with companies gathering more subscribers with their triple-play offering of cable, phone, and internet services. The additional revenue, lower cost of debt, and improving balance sheets has been a positive for the sector. The building and construction sector was the worst performing sector as the housing market weakened during the period primarily due to subprime mortgage concerns. The subprime phenomenon led to slower home sales and weaker financial results for homebuilders. The support services sector was a solid performer led by United Rentals. The company posted good financial results during the period and also agreed to be acquired by a private equity firm. The beverage sector was the second worst performing segment for the period. The sector was dragged down by water and juice producer Le-Natures, whose bonds plummeted more than 85% after it was discovered that the company was involved in fraudulent activities. Moody's U.S. issuer-based default rate continued to trend toward historical lows. The trailing twelve month reading of 1.2% is the lowest since March 1982 when it was 1.0%. The market is anticipating default rates to increase slowly over the next twelve months but to remain below the historical average. The High Yield Bond Fund, Class A, trailed the index with a 6.72% return for the fiscal year ended September 30, 2007. The Fund's underweight to Williams Companies was a negative for the period as the company outperformed the high yield market due to solid financial results and an asset sale. The Fund's underweight to Charter Communications was a negative as the firm was the top contributor to the index return. The company gathered more subscribers with their triple-play offering of cable, phone, and internet services. The Fund's overweight to Le-Natures was a negative as corporate fraud hammered bond prices. The Fund's exposure to structured credit, such as collateralized debt obligations, was a negative as well. The Fund's exposure to TDS Investor was a positive as the company agreed to merge with Worldspan, sending bonds higher. Finally, the Fund's underweight to building and construction was a positive as the slumping homebuilder sector was a poor performer. - -------------------------------------------------------------------------------- 28 SEI Institutional Managed Trust / Annual Report / September 30, 2007 MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE SEI INSTITUTIONAL MANAGED TRUST -- SEPTEMBER 30, 2007 High Yield Bond Fund: AVERAGE ANNUAL TOTAL RETURN 1 - -------------------------------------------------------------------------------- Annualized Annualized Annualized Annualized One Year 3 Year 5 Year 10 Year Inception Return Return Return Return to Date - -------------------------------------------------------------------------------- High Yield Bond Fund, Class A 6.72% 6.65% 10.02% 5.52% 7.68% - -------------------------------------------------------------------------------- Comparison of Change in the Value of a $100,000 Investment in the High Yield Bond Fund, Class A, versus the Merrill Lynch U.S. High Yield Master II Constrained Index. [THE FOLLOWING TABLE WAS REPRESENTED BY A LINE GRAPH IN THE PRINTED MATERIAL.] High Yield Bond Merrill Lynch U.S. High Yield Fund, Class A Master II Constrained Index 9/30/97 $100,000 $100,000 9/30/98 102,250 102,480 9/30/99 105,839 106,436 9/30/00 105,744 107,394 9/30/01 100,710 100,810 9/30/02 106,199 99,722 9/30/03 127,311 128,442 9/30/04 141,112 144,278 9/30/05 150,581 153,786 9/30/06 160,383 164,890 9/30/07 171,161 177,735 1 For the period ended 9/30/07. Past performance is no indication of future performance. Fund shares were offered beginning 1/11/95. Returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. The returns for certain periods reflect fee waivers and/or reimbursements in effect for that period; absent fee waivers and reimbursements, performance would have been lower. - -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Annual Report / September 30, 2007 29 SCHEDULE OF INVESTMENTS Large Cap Value Fund September 30, 2007 - -------------------------------------------------------------------------------- SECTOR WEIGHTINGS# (UNAUDITED): [THE FOLLOWING TABLE WAS REPRESENTED BY A BAR CHART IN THE PRINTED MATERIAL.] 28.8% Financials 12.0% Energy 10.8% Short-Term Investments 8.5% Consumer Discretionary 8.4% Industrials 6.5% Health Care 6.2% Consumer Staples 6.2% Telecommunication Services 4.7% Utilities 4.1% Materials 3.7% Information Technology 0.1% Asset-Backed Security 0.0% U.S. Treasury Obligation #Percentages based on total investments. Includes investments held as collateral for securities on loan (see Note 7). - -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) - -------------------------------------------------------------------------------- COMMON STOCK+++ -- 98.7% CONSUMER DISCRETIONARY -- 9.5% Apollo Group, Cl A (B)* 56,400 $ 3,392 Autoliv 126,100 7,534 Barnes & Noble 94,200 3,322 Big Lots (B)* 97,900 2,921 Black & Decker (B) 53,100 4,423 BorgWarner 27,500 2,517 Brinker International 269,600 7,398 Cablevision Systems, Cl A (B)* 62,500 2,184 Carnival (B) 31,900 1,545 CBS, Cl B (B) 478,700 15,079 Centex (B) 99,700 2,649 Central European Media Entertainment, Cl A* 1,400 128 Clear Channel Communications 19,200 719 Coach* 93,800 4,434 Comcast, Cl A (B)* 711,400 17,202 DaimlerChrysler 28,100 2,816 Darden Restaurants 96,200 4,027 Dick's Sporting Goods (B)* 43,000 2,887 Dillard's, Cl A (B) 12,300 269 Discovery Holding, Cl A* 38,600 1,114 Dollar Tree Stores* 110,600 4,484 DreamWorks Animation SKG, Cl A* 4,000 134 Eastman Kodak (B) 172,400 4,613 Expedia (B)* 56,600 1,804 Ford Motor (B) 379,200 3,219 Fortune Brands (B) 51,800 4,221 Gannett 111,300 4,864 General Motors (B) 342,200 12,559 Genuine Parts 14,500 725 Getty Images* 7,500 209 Goodyear Tire & Rubber* 107,700 3,275 Harrah's Entertainment 11,400 991 Hasbro (B) 463,300 12,917 Home Depot 347,000 11,257 - -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) - -------------------------------------------------------------------------------- IAC/InterActive (B)* 54,000 $ 1,602 Idearc 138,955 4,373 Interpublic Group (B)* 163,900 1,701 J.C. Penney 31,500 1,996 Jarden (B)* 11,600 359 Johnson Controls (B) 24,600 2,906 Jones Apparel Group (B) 101,400 2,143 KB Home (B) 142,200 3,564 Kohl's* 27,500 1,577 Lennar, Cl A (B) 44,400 1,006 Liberty Global, Cl A (B)* 110,700 4,541 Liberty Media Holding-Capital, Ser A* 43,100 5,380 Liberty Media Holding-Interactive, Cl A* 44,000 845 Limited Brands (B) 47,700 1,092 Liz Claiborne (B) 3,400 117 Macy's 312,700 10,106 Magna International, Cl A 51,500 4,960 Mattel 548,900 12,877 McDonald's 496,300 27,033 MDC Holdings (B) 2,700 111 Mohawk Industries (B)* 12,700 1,033 New York Times, Cl A (B) 5,700 113 Newell Rubbermaid 37,900 1,092 News, Cl A 222,700 4,897 Nike, Cl B (B) 47,100 2,763 NVR (B)* 1,200 564 OfficeMax 12,200 418 Pulte Homes 127,900 1,741 R.H. Donnelley (B)* 33,300 1,865 RadioShack (B) 31,000 640 Royal Caribbean Cruises 18,600 726 Ryland Group 500 11 Saks (B) 16,700 286 Sears Holdings* 6,200 789 Service International 95,600 1,233 Shaw Communications, Cl B* 242,200 6,016 Sherwin-Williams 58,400 3,837 Snap-On 24,000 1,189 Stanley Works 39,397 2,211 Starwood Hotels & Resorts Worldwide 42,100 2,558 Station Casinos 12,100 1,059 Target (B) 39,900 2,536 Time Warner 2,070,100 38,007 Time Warner Cable, Cl A* 5,800 190 Tribune 100,689 2,751 Under Armour, Cl A (B)* 49,400 2,955 VF 113,600 9,173 Walt Disney 293,000 10,076 Wendy's International 28,200 984 Whirlpool (B) 42,800 3,814 Wyndham Worldwide 5,900 193 -------------- 345,841 -------------- - -------------------------------------------------------------------------------- 30 SEI Institutional Managed Trust / Annual Report / September 30, 2007 - -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) - -------------------------------------------------------------------------------- CONSUMER STAPLES -- 6.9% Alberto-Culver (B) 45,300 $ 1,123 Altria Group 295,800 20,567 Anheuser-Busch 15,600 780 Archer-Daniels-Midland 13,000 430 Avon Products 4,000 150 Bunge (B) 50,600 5,437 Campbell Soup 15,300 566 Coca-Cola 156,900 9,017 Coca-Cola Enterprises 256,800 6,220 Colgate-Palmolive 63,300 4,514 ConAgra Foods 601,200 15,709 Corn Products International 22,900 1,050 Costco Wholesale (B) 3,200 196 Dean Foods 12,700 325 Del Monte Foods 368,100 3,865 Energizer Holdings (B)* 4,400 488 General Mills 125,700 7,292 HJ Heinz 48,000 2,218 JM Smucker 25,400 1,357 Kellogg 4,400 246 Kimberly-Clark 157,400 11,059 Kraft Foods, Cl A 180,460 6,228 Kroger 598,100 17,058 Loews - Carolina 29,100 2,393 Molson Coors Brewing, Cl B (B) 87,900 8,761 Pepsi Bottling Group 123,100 4,576 PepsiCo 89,300 6,542 Procter & Gamble 910,600 64,052 Reynolds American (B) 190,700 12,127 Safeway (B) 419,827 13,900 Sara Lee 228,900 3,820 Supervalu 157,045 6,126 Tyson Foods, Cl A 204,200 3,645 UST (B) 70,400 3,492 Wal-Mart Stores 52,000 2,270 WM Wrigley Jr. 57,400 3,687 -------------- 251,286 -------------- ENERGY -- 13.4% Anadarko Petroleum 100,200 5,386 Apache 51,200 4,611 Baker Hughes 31,700 2,865 BP ADR 16,700 1,158 Chevron 1,197,700 112,081 ConocoPhillips 688,093 60,394 Devon Energy 7,600 632 ENSCO International 2,300 129 EOG Resources 1,900 137 Exxon Mobil 2,279,800 211,018 Forest Oil* 8,600 370 Frontier Oil 1,900 79 Helmerich & Payne 17,100 561 - -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) - -------------------------------------------------------------------------------- Hess 61,500 $ 4,092 Holly 74,000 4,427 Marathon Oil 733,400 41,819 Noble Energy 112,300 7,866 Occidental Petroleum 153,700 9,849 Overseas Shipholding Group 800 62 Patterson-UTI Energy 155,800 3,516 Pogo Producing 2,900 154 SEACOR Holdings* 2,400 228 Sunoco 115,700 8,189 Teekay Shipping 3,100 182 Tidewater 6,200 390 Valero Energy 139,800 9,392 Western Refining 2,600 106 Williams 12,300 419 -------------- 490,112 -------------- FINANCIALS -- 31.7% A.G. Edwards 6,700 561 ACE 74,800 4,531 Alleghany* 3,150 1,279 Allied Capital (B) 31,400 923 Allied World Assurance Holdings 3,200 166 Allstate 526,400 30,105 AMB Property+ 2,100 126 AMBAC Financial Group (B) 21,000 1,321 American Capital Strategies (B) 71,000 3,034 American Financial Group 40,900 1,166 American International Group (B) 1,120,900 75,829 Ameriprise Financial 26,700 1,685 Annaly Capital Management+ 42,800 682 AON (B) 148,200 6,641 Apartment Investment & Management, Cl A+ 24,900 1,124 Arch Capital Group* 1,800 134 Archstone-Smith Trust+ 9,900 595 Arthur J. Gallagher 14,700 426 Assurant 160,800 8,603 Astoria Financial 108,300 2,873 AvalonBay Communities+ (B) 17,700 2,090 Axis Capital Holdings 128,100 4,984 Bank of America 2,472,650 124,300 Bank of New York Mellon 67,422 2,976 BB&T 425,300 17,178 Bear Stearns (B) 31,400 3,856 BlackRock 400 69 Boston Properties+ 23,400 2,431 BRE Properties, Cl A+ (B) 15,100 844 Brookfield Asset Management, Cl A* 104,600 4,027 Chubb 353,600 18,967 CIT Group 293,100 11,783 Citigroup 2,637,700 123,101 City National 3,400 236 - -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Annual Report / September 30, 2007 31 SCHEDULE OF INVESTMENTS Large Cap Value Fund (Continued) September 30, 2007 - -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) - -------------------------------------------------------------------------------- CME Group 5,700 $ 3,348 Comerica 332,500 17,051 Countrywide Financial (B) 333,200 6,334 Credicorp 6,600 447 Developers Diversified Realty+ (B) 3,400 190 Discover Financial Services* 109,200 2,271 Douglas Emmett+ 5,000 124 Duke Realty+ 17,300 585 Eaton Vance 93,600 3,740 Equity Residential+ (B) 16,200 686 Essex Property Trust+ 800 94 Everest Re Group 99,200 10,936 Fannie Mae 332,300 20,207 Federal Realty Investment Trust+ 1,300 115 Fidelity National Financial, Cl A 178,204 3,115 First American 14,900 546 First Horizon National (B) 68,600 1,829 Franklin Resources 54,800 6,987 Freddie Mac 219,300 12,941 General Growth Properties+ 4,900 263 Genworth Financial, Cl A 211,800 6,509 Goldman Sachs Group 104,400 22,628 Hanover Insurance Group 28,000 1,237 Hartford Financial Services Group 188,900 17,483 HCP+ (B) 72,500 2,405 Health Care+ (B) 12,800 566 Hospitality Properties Trust+ (B) 87,700 3,565 Host Hotels & Resorts+ (B) 49,760 1,117 IndyMac Bancorp (B) 102,900 2,429 iStar Financial+ (B) 76,000 2,583 Janus Capital Group (B) 112,300 3,176 Jones Lang LaSalle 47,700 4,902 JPMorgan Chase 2,019,828 92,548 Keycorp (B) 490,500 15,858 Kimco Realty+ 7,715 349 Legg Mason 35,800 3,018 Lehman Brothers Holdings (B) 154,600 9,543 Leucadia National 6,900 333 Lincoln National 135,267 8,924 Loews 340,400 16,458 M&T Bank 3,200 331 Markel* 5,700 2,759 Marsh & McLennan (B) 18,400 469 MBIA (B) 93,900 5,733 Merrill Lynch (B) 521,500 37,172 Metlife (B) 100,100 6,980 MGIC Investment (B) 78,700 2,543 Moody's (B) 37,900 1,910 Morgan Stanley 563,900 35,526 National City 603,200 15,134 Nationwide Financial Services, Cl A 132,400 7,126 Old Republic International 266,400 4,992 Philadelphia Consolidated Holding* 2,200 91 - -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) - -------------------------------------------------------------------------------- Plum Creek Timber+ (B) 7,300 $ 327 PMI Group (B) 169,500 5,543 PNC Financial Services Group 115,255 7,849 Popular (B) 111,000 1,363 Principal Financial Group 103,200 6,511 Prologis+ 3,400 226 Prudential Financial 90,800 8,860 Regency Centers+ 6,200 476 Regions Financial 522,184 15,394 Reinsurance Group of America 7,800 442 Safeco 173,700 10,634 Simon Property Group+ (B) 2,200 220 SL Green Realty+ (B) 1,166 136 Sovereign Bancorp 20,800 354 Sunstone Hotel Investors+ 95,800 2,456 SunTrust Banks (B) 198,100 14,990 Taubman Centers+ 10,400 569 Torchmark 3,700 231 Travelers 699,600 35,218 UnionBanCal 70,800 4,135 UnumProvident (B) 257,000 6,289 US Bancorp 1,357,600 44,163 Valley National Bancorp (B) 19,819 440 Vornado Realty Trust+ (B) 20,100 2,198 Wachovia 701,697 35,190 Washington Mutual (B) 869,000 30,684 Wells Fargo 863,800 30,768 White Mountains Insurance Group 800 416 XL Capital, Cl A (B) 42,500 3,366 Zions Bancorporation 3,000 206 -------------- 1,156,506 -------------- HEALTH CARE -- 7.2% Aetna 98,200 5,329 Alcon (B) 16,700 2,404 AmerisourceBergen 162,900 7,384 Amgen* 194,100 10,980 Bausch & Lomb 13,100 839 Beckman Coulter 1,800 133 Becton Dickinson (B) 40,300 3,307 Boston Scientific* 98,000 1,367 Cardinal Health 73,200 4,577 Celgene (B)* 39,800 2,838 Charles River Laboratories International* 3,100 174 Cigna 171,800 9,155 Covidien* 46,850 1,944 Eli Lilly 32,200 1,833 Forest Laboratories* 89,200 3,326 Genentech* 29,000 2,263 Gilead Sciences* 83,400 3,409 Hillenbrand Industries 11,300 622 Invitrogen (B)* 55,200 4,512 - -------------------------------------------------------------------------------- 32 SEI Institutional Managed Trust / Annual Report / September 30, 2007 - -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) - -------------------------------------------------------------------------------- Johnson & Johnson 480,500 $ 31,569 Kinetic Concepts* 4,700 265 King Pharmaceuticals* 193,800 2,271 Laboratory of America Holdings (B)* 35,600 2,785 McKesson 2,500 147 Merck 531,400 27,468 Mylan Laboratories 192,300 3,069 PerkinElmer 31,300 914 Pfizer 4,012,200 98,018 PharMerica (B)* 4,093 61 Schering-Plough 95,100 3,008 Tenet Healthcare (B)* 396,700 1,333 Thermo Fisher Scientific* 70,500 4,069 UnitedHealth Group 45,700 2,213 Watson Pharmaceuticals* 6,800 220 WellPoint* 19,400 1,531 Wyeth 364,900 16,256 -------------- 261,593 -------------- INDUSTRIALS -- 9.3% 3M 71,900 6,728 AGCO (B)* 20,200 1,025 Alexander & Baldwin 5,600 281 Allied Waste Industries (B)* 19,400 247 Avis Budget Group* 20,300 465 Boeing 73,900 7,759 Burlington Northern Santa Fe 5,800 471 Caterpillar 113,800 8,925 ChoicePoint (B)* 98,100 3,720 Cooper Industries, Cl A 14,200 726 CSX 38,900 1,662 Cummins 59,700 7,635 Deere 83,300 12,363 DRS Technologies 2,500 138 Dun & Bradstreet 40,000 3,944 Eaton 139,700 13,836 FedEx 2,400 251 General Dynamics 34,200 2,889 General Electric 3,315,200 137,249 Harsco 114,000 6,757 Honeywell International 135,800 8,076 Illinois Tool Works 8,000 477 Ingersoll-Rand, Cl A 272,700 14,854 Kansas City Southern (B)* 3,800 122 Kennametal 3,800 319 L-3 Communications Holdings 48,400 4,944 Laidlaw International 12,300 433 Lennox International (B) 31,800 1,075 Lockheed Martin 30,600 3,320 Masco (B) 347,300 8,047 Norfolk Southern 98,100 5,092 Northrop Grumman 282,300 22,019 - -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) - -------------------------------------------------------------------------------- Northwest Airlines* 7,700 $ 137 Owens Corning (B)* 9,300 233 Pall 7,700 300 Parker Hannifin (B) 109,900 12,290 Raytheon 132,500 8,456 RR Donnelley & Sons 22,100 808 Ryder System 93,100 4,562 Shaw Group* 1,300 76 SPX 66,400 6,146 Teleflex 3,900 304 Tyco International 54,450 2,414 UAL (B)* 6,000 279 Union Pacific 18,800 2,126 United Parcel Service, Cl B 66,000 4,957 United Rentals* 11,200 360 United Technologies 123,200 9,915 WW Grainger (B) 4,900 447 -------------- 339,659 -------------- INFORMATION TECHNOLOGY -- 4.1% ADC Telecommunications* 6,800 133 Adobe Systems (B)* 60,500 2,641 Apple* 28,300 4,345 Applied Materials (B) 188,800 3,908 Arrow Electronics* 104,800 4,456 Avaya* 30,400 516 Avnet (B)* 250,400 9,981 CA (B) 12,100 311 Cadence Design Systems* 20,100 446 Ceridian* 8,500 295 Citrix Systems* 59,500 2,399 Cognizant Technology Solutions, Cl A* 27,200 2,170 Computer Sciences* 134,500 7,519 Compuware (B)* 123,000 986 Convergys* 178,600 3,100 eBay* 75,500 2,946 Electronic Arts* 39,400 2,206 Electronic Data Systems 133,900 2,924 Fair Isaac 96,600 3,488 Fidelity National Information Services 9,085 403 Fiserv* 73,100 3,718 Google, Cl A* 6,000 3,404 Hewitt Associates, Cl A* 14,600 512 Hewlett-Packard 175,700 8,748 Ingram Micro, Cl A* 83,200 1,632 Intel 125,600 3,248 International Business Machines (B) 124,600 14,678 Juniper Networks (B)* 165,600 6,063 Lexmark International, Cl A* 3,700 154 Microsoft 163,200 4,808 Motorola 223,800 4,147 - -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Annual Report / September 30, 2007 33 SCHEDULE OF INVESTMENTS Large Cap Value Fund (Concluded) September 30, 2007 - -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) - -------------------------------------------------------------------------------- NCR* 18,200 $ 906 Novellus Systems* 14,800 403 Nvidia* 70,000 2,537 Oracle* 226,900 4,912 Sanmina-SCI* 634,300 1,345 Seagate Technology 279,700 7,155 Solectron (B)* 596,600 2,327 Symantec (B)* 251,300 4,870 Tech Data (B)* 63,700 2,556 Tektronix 163,900 4,547 Tyco Electronics* 52,750 1,869 Vishay Intertechnology (B)* 143,200 1,866 Western Digital* 119,900 3,036 Xerox* 283,400 4,914 -------------- 149,528 -------------- MATERIALS -- 4.5% Alcan 35,040 3,507 Alcoa 301,500 11,795 Ashland 52,400 3,155 Bemis 3,400 99 Cabot 13,500 480 Celanese, Ser A 31,200 1,216 Chemtura 12,700 113 Domtar* 90,100 739 Dow Chemical 572,700 24,660 E.I. Du Pont de Nemours (B) 135,300 6,706 Eastman Chemical 86,100 5,745 FMC 10,400 541 Freeport-McMoRan Copper & Gold, Cl B (B) 8,755 918 Huntsman 6,600 175 International Flavors & Fragrances 12,200 645 International Paper (B) 447,400 16,048 Lubrizol 164,700 10,715 Lyondell Chemical 37,900 1,757 MeadWestvaco 17,200 508 Mosaic* 44,100 2,360 Nova Chemicals 65,500 2,528 Nucor 251,400 14,951 Owens-Illinois* 4,000 166 PPG Industries 138,400 10,456 Reliance Steel & Aluminum 8,300 469 Rohm & Haas (B) 108,800 6,057 RPM International 4,500 108 Scotts Miracle-Gro, Cl A 11,100 475 Sealed Air (B) 24,000 613 Sigma-Aldrich 6,900 336 Smurfit-Stone Container* 237,700 2,776 Sonoco Products 108,700 3,281 Southern Copper (B) 61,900 7,665 Steel Dynamics (B) 89,700 4,189 - -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) - -------------------------------------------------------------------------------- Temple-Inland 20,600 $ 1,084 United States Steel 92,000 9,747 Valspar 74,900 2,038 Weyerhaeuser 90,600 6,550 -------------- 165,371 -------------- TELECOMMUNICATION SERVICES -- 6.9% Alltel 46,800 3,261 AT&T 3,119,244 131,975 CenturyTel 249,300 11,523 Citizens Communications (B) 94,600 1,355 Embarq 19,300 1,073 Sprint Nextel 1,089,550 20,701 Telephone & Data Systems 33,300 2,223 Verizon Communications 1,652,200 73,159 Vodafone Group ADR (B) 91,400 3,318 Windstream 139,026 1,963 -------------- 250,551 -------------- UTILITIES -- 5.2% Alliant Energy 116,300 4,457 Ameren (B) 97,700 5,129 American Electric Power 370,300 17,063 Atmos Energy 35,900 1,017 CMS Energy (B) 36,700 617 Consolidated Edison (B) 15,400 713 Constellation Energy Group 69,700 5,980 Dominion Resources 9,400 792 DTE Energy (B) 96,600 4,679 Duke Energy 13,448 251 Dynegy, Cl A* 82,200 760 Edison International 91,100 5,052 Energen 137,500 7,854 Entergy 145,600 15,767 Equitable Resources 10,600 550 Exelon 107,800 8,124 FirstEnergy 347,400 22,004 FPL Group 91,700 5,583 MDU Resources Group 15,200 423 Mirant (B)* 38,500 1,566 National Fuel Gas 30,100 1,409 NiSource 32,300 618 Northeast Utilities 102,800 2,937 NRG Energy (B)* 33,300 1,408 NSTAR 33,400 1,163 OGE Energy 4,900 162 Oneok 92,200 4,370 Pepco Holdings 188,700 5,110 PG&E (B) 271,800 12,992 Pinnacle West Capital (B) 204,000 8,060 PPL 21,600 1,000 Progress Energy (B) 125,200 5,866 - -------------------------------------------------------------------------------- 34 SEI Institutional Managed Trust / Annual Report / September 30, 2007 - -------------------------------------------------------------------------------- Shares/Face Amount Market Value Description ($ Thousands) ($ Thousands) - -------------------------------------------------------------------------------- Public Service Enterprise Group 112,700 $ 9,917 Puget Energy 60,900 1,490 Questar 3,700 194 Reliant Energy* 292,300 7,483 Sempra Energy 40,300 2,342 Sierra Pacific Resources* 5,300 83 Southern (B) 40,000 1,451 TECO Energy 7,600 125 TXU 7,900 541 UGI 12,200 317 Wisconsin Energy 90,700 4,084 Xcel Energy 339,900 7,322 -------------- 188,825 -------------- Total Common Stock (Cost $2,791,275) ($ Thousands) 3,599,272 -------------- CORPORATE OBLIGATION (C) (E) -- 0.2% FINANCIALS -- 0.2% SLM EXL, Ser S 5.763%, 10/15/07 $ 6,762 6,762 -------------- Total Corporate Obligation (Cost $6,762) ($ Thousands) 6,762 -------------- ASSET-BACKED SECURITY (C) (E) (F) -- 0.1% MORTGAGE RELATED SECURITY -- 0.1% Duke Funding, Ser 2004-6B, Cl A1S1 5.430%, 10/09/07 4,610 4,610 -------------- Total Asset-Backed Security (Cost $4,610) ($ Thousands) 4,610 -------------- CASH EQUIVALENTS**++ -- 12.0% SEI Daily Income Trust, Prime Obligation Fund, Cl A, 5.350% 44,716,432 44,716 SEI Liquidity Fund LP, 5.367% (C) 391,380,868 391,381 -------------- Total Cash Equivalents (Cost $436,097) ($ Thousands) 436,097 -------------- U.S. TREASURY OBLIGATION (A) (D) -- 0.1% U.S. Treasury Bills 3.939%, 11/23/07 2,020 2,009 -------------- Total U.S. Treasury Obligation (Cost $2,009) ($ Thousands) 2,009 -------------- Total Investments -- 111.1% (Cost $3,240,753) ($ Thousands) $ 4,048,750 ============== A summary of the open futures contracts held by the Fund at September 30, 2007, is as follows (see Note 2 in Notes to Financial Statements): - -------------------------------------------------------------------------------- NUMBER OF UNREALIZED TYPE OF CONTRACTS EXPIRATION APPRECIATION CONTRACT LONG (SHORT) DATE ($ THOUSANDS) - -------------------------------------------------------------------------------- S&P 500 Composite Index 71 Dec-2007 $ 842 ===== Percentages are based on Net Assets of $3,645,192 ($ Thousands). * Non-Income Producing Security. ** Rate shown is the 7-day effective yield as of September 30, 2007. +++ Narrow industries are utilized for compliance purposes, whereas broad sectors are utilized for reporting. + Real Estate Investment Trust. ++ Investment in Affiliated Security (see Note 3). (A) Security, or portion thereof, has been pledged as collateral on open futures contracts. (B) This security or a partial position of this security is on loan at September 30, 2007 (see Note 7). The total market value of securities on loan at September 30, 2007 was $390,549 ($ Thousands). (C) This security was purchased with cash collateral held from securities on loan (see Note 7). The total market value of such securities as of September 30, 2007 was $402,753 ($ Thousands). (D) The rate reported is the effective yield at time of purchase. (E) Variable Rate Security -- The rate reported on the Schedule of Investments is the rate in effect as of September 30, 2007. (F) Securities sold within terms of a private placement memorandum, exempt from registration under Section 144A of the Securities Act of 1933, as amended, and may be sold only to dealers in that program or other "accredited investors." These securities have been determined to be liquid under guidelines established by the Board of Trustees. ADR -- American Depositary Receipt Cl -- Class EXL -- Extendable Maturity LP -- Limited Partnership Ser -- Series The accompanying notes are an integral part of the financial statements. - -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Annual Report / September 30, 2007 35 SCHEDULE OF INVESTMENTS Large Cap Growth Fund September 30, 2007 - -------------------------------------------------------------------------------- SECTOR WEIGHTINGS# (UNAUDITED): [THE FOLLOWING TABLE WAS REPRESENTED BY A BAR CHART IN THE PRINTED MATERIAL.] 25.4% Information Technology 14.1% Health Care 12.8% Short-Term Investments 11.5% Consumer Discretionary 10.1% Consumer Staples 7.4% Energy 7.1% Industrials 6.6% Financials 2.2% Materials 1.8% Telecommunication Services 0.8% Utilities 0.1% Asset-Backed Security 0.1% U.S. Treasury Obligation #Percentages based on total investments. Includes investments held as collateral for securities on loan (see Note 7). - -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) - -------------------------------------------------------------------------------- COMMON STOCK+++ -- 96.9% CONSUMER DISCRETIONARY -- 12.8% Abercrombie & Fitch, Cl A 2,000 $ 161 Advance Auto Parts 4,300 144 Amazon.com* 47,400 4,415 American Eagle Outfitters 38,550 1,014 AnnTaylor Stores (B)* 109,800 3,477 Autozone* 20,569 2,389 Bed Bath & Beyond* 700 24 Best Buy (B) 97,600 4,492 Big Lots* 46,300 1,382 BorgWarner 1,900 174 Brinker International (B) 176,337 4,839 Cablevision Systems, Cl A* 54,346 1,899 Career Education* 43,500 1,218 Carmax* 64,100 1,303 Carnival 3,300 160 CBS, Cl B (B) 14,663 462 Central European Media Entertainment, Cl A* 6,600 605 Clear Channel Communications 19,300 723 Coach* 178,041 8,416 Comcast, Cl A* 173,714 4,200 CROCS* 41,300 2,777 Darden Restaurants 61,859 2,589 Dick's Sporting Goods* 8,100 544 DIRECTV Group* 321,200 7,799 Discovery Holding, Cl A* 78,400 2,262 Dollar Tree Stores* 33,689 1,366 Dow Jones 15,100 901 DreamWorks Animation SKG, Cl A* 4,500 150 EchoStar Communications, Cl A* 72,100 3,375 Family Dollar Stores 6,300 167 Fortune Brands 166,490 13,567 GameStop, Cl A* 45,400 2,558 Garmin 2,400 287 Gentex (B) 144,200 3,092 - -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) - -------------------------------------------------------------------------------- Goodyear Tire & Rubber* 181,700 $ 5,526 Guess? 33,800 1,657 Gymboree* 33,000 1,163 Hanesbrands* 113,300 3,179 Harley-Davidson (B) 60,731 2,806 Harman International Industries 16,000 1,384 Harrah's Entertainment 22,800 1,982 Hasbro 33,900 945 Hilton Hotels 12,217 568 Home Depot 469,421 15,228 IAC/InterActive (B)* 101,567 3,014 International Game Technology 780,300 33,631 Interpublic Group* 112,600 1,169 ITT Educational Services* 45,080 5,486 J.C. Penney 81,934 5,192 Jarden* 14,600 452 John Wiley & Sons, Cl A 8,400 377 Johnson Controls 27,000 3,189 Kohl's* 52,610 3,016 Lamar Advertising, Cl A (B) 182,774 8,950 Liberty Global, Cl A* 118,582 4,864 Liberty Media Holding-Interactive, Cl A* 42,600 818 Lowe's (B) 613,412 17,188 Macy's 34,700 1,122 Marriott International, Cl A 53,484 2,325 Mattel 86,800 2,036 McDonald's 328,600 17,899 McGraw-Hill 444,623 22,636 Meredith 23,300 1,335 MGM Mirage* 363,900 32,547 Midas* 6,100 115 Morgans Hotel Group* 12,600 274 Newell Rubbermaid 183,916 5,300 News, Cl A 190,384 4,187 Nike, Cl B (B) 257,000 15,076 Nordstrom 27,900 1,308 Nutri/System (B)* 60,100 2,818 NVR (B)* 2,500 1,176 Office Depot* 44,700 922 OfficeMax 4,600 158 Omnicom Group 60,728 2,920 Orient-Express Hotels, Cl A 12,900 661 Penn National Gaming* 7,300 431 PetSmart 5,100 163 Phillips-Van Heusen 11,200 588 Polo Ralph Lauren 38,221 2,972 RadioShack 88,600 1,830 Regal Entertainment Group, Cl A 6,400 140 Rent-A-Center* 12,729 231 Reuters Group ADR (B)* 210,000 16,645 Ross Stores 22,800 585 Saks 71,400 1,225 - -------------------------------------------------------------------------------- 36 SEI Institutional Managed Trust / Annual Report / September 30, 2007 - -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) - -------------------------------------------------------------------------------- Sherwin-Williams 23,800 $ 1,564 Staples (B) 1,350,000 29,012 Starbucks (B)* 286,750 7,513 Station Casinos 17,300 1,513 Steven Madden 12,300 233 Target (B) 169,959 10,804 Tiffany 34,400 1,801 Tim Hortons 29,303 1,021 Time Warner 134,938 2,477 Time Warner Cable, Cl A* 7,600 249 TJX (B) 29,400 855 Urban Outfitters* 45,000 981 Viacom, Cl B* 294,861 11,491 WABCO Holdings* 5,033 235 Walt Disney 209,683 7,211 Warnaco Group* 16,100 629 Weight Watchers International 473,800 27,272 Wendy's International 1,098 38 Whirlpool 1,900 169 Williams-Sonoma (B) 195,220 6,368 Wyndham Worldwide 11,700 383 Wynn Resorts (B) 21,100 3,325 Yum! Brands 202,008 6,834 -------------- 466,318 -------------- CONSUMER STAPLES -- 11.2% Alberto-Culver 9,300 231 Altria Group 290,318 20,186 Anheuser-Busch 110,052 5,502 Archer-Daniels-Midland 25,900 857 Avon Products 51,300 1,925 Campbell Soup 43,401 1,606 Church & Dwight 46,200 2,173 Clorox 200 12 Coca-Cola 669,317 38,466 Colgate-Palmolive 188,967 13,477 Costco Wholesale (B) 279,780 17,170 CVS 723,231 28,662 Energizer Holdings* 26,300 2,915 Estee Lauder, Cl A 26,500 1,125 General Mills 43,300 2,512 Herbalife 12,900 586 HJ Heinz 69,400 3,206 Kellogg 8,500 476 Kimberly-Clark 95,002 6,675 Kraft Foods, Cl A 213,730 7,376 Kroger 244,100 6,962 Loews - Carolina 16,400 1,349 McCormick 10,300 370 NBTY* 35,100 1,425 Pepsi Bottling Group 41,953 1,559 - -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) - -------------------------------------------------------------------------------- PepsiCo 815,174 $ 59,720 Procter & Gamble 1,209,615 85,084 Reynolds American (B) 31,500 2,003 Sara Lee 7,600 127 Sysco 25,400 904 UST 47,600 2,361 Wal-Mart Stores 1,075,701 46,954 Walgreen 801,953 37,884 WM Wrigley Jr. (B) 125,558 8,065 -------------- 409,905 -------------- ENERGY -- 8.2% Baker Hughes 545,831 49,327 Cabot Oil & Gas 22,400 788 Cameron International (B)* 90,926 8,392 Cheniere Energy* 3,800 149 Chesapeake Energy (B) 153,300 5,405 Chevron 28,422 2,660 Cimarex Energy 3,800 141 Devon Energy 136,900 11,390 Dresser-Rand Group* 52,200 2,229 Exxon Mobil 255,400 23,640 FMC Technologies (B)* 63,300 3,650 Frontline* 1,500 72 Global Industries* 36,100 930 GlobalSantaFe 27,400 2,083 Grant Prideco* 2,800 153 Halliburton (B) 625,200 24,008 Holly 31,400 1,879 Hornbeck Offshore Services* 33,400 1,226 National Oilwell Varco* 15,700 2,269 Noble (B) 133,200 6,533 Noble Energy 2,500 175 Occidental Petroleum 178,640 11,447 Oceaneering International* 3,500 265 Range Resources 17,500 711 Schlumberger (B) 650,692 68,323 Smith International 4,700 336 Southwestern Energy* 13,900 582 Suncor Energy 312,090 29,589 Sunoco 46,800 3,312 Superior Energy Services* 10,600 376 Tesoro 68,200 3,139 Tidewater 2,300 144 Transocean* 29,400 3,324 Valero Energy 141,100 9,479 Weatherford International (B)* 294,738 19,800 Western Refining 2,400 97 Williams 21,100 719 XTO Energy 26,509 1,639 -------------- 300,381 -------------- - -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Annual Report / September 30, 2007 37 SCHEDULE OF INVESTMENTS Large Cap Growth Fund (Continued) September 30, 2007 - -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) - -------------------------------------------------------------------------------- FINANCIALS -- 7.4% A.G. Edwards 6,000 $ 502 Affiliated Managers Group* 170 22 Aflac 10,634 607 AMBAC Financial Group (B) 1,000 63 American Express 524,076 31,114 American International Group 111,903 7,570 Arthur J. Gallagher 2,300 67 Bank of New York Mellon 4,300 190 CB Richard Ellis Group, Cl A* 38,474 1,071 Charles Schwab 892,738 19,283 CME Group 80,084 47,037 Discover Financial Services* 354,040 7,364 Eaton Vance 52,500 2,098 Federal Realty Investment Trust+ 1,794 159 Federated Investors, Cl B 800 32 First Cash Financial Services* 32,300 756 First Marblehead 8,650 328 Forest City Enterprises, Cl A 50,604 2,791 Franklin Resources 42,512 5,420 Freddie Mac 427,040 25,200 General Growth Properties+ 41,200 2,209 Goldman Sachs Group 51,696 11,205 Hudson City Bancorp (B) 128,700 1,979 IntercontinentalExchange (B)* 294,000 44,659 Janus Capital Group (B) 155,800 4,406 Jones Lang LaSalle 20,400 2,096 Legg Mason (B) 82,610 6,963 Lehman Brothers Holdings (B) 60,600 3,741 Macerich+ 4,800 420 Merrill Lynch 118,700 8,461 Moody's (B) 108,608 5,474 Morgan Stanley 220,090 13,866 Newcastle Investment+ (B) 5,200 92 NewStar Financial* 7,200 81 Northern Trust 10,518 697 Nuveen Investments, Cl A 2,300 142 NYSE Euronext 7,900 625 People's United Financial 35,990 622 Philadelphia Consolidated Holding* 8,000 331 Prologis+ 1,700 113 Prudential Financial 11,400 1,112 Security Capital Assurance 7,800 178 Simon Property Group+ 5,100 510 SLM 1,018 51 State Street 5,650 385 Synovus Financial 6,100 171 T. Rowe Price Group 3,224 180 Taubman Centers+ 9,200 504 TD Ameritrade Holding* 221,800 4,041 Transatlantic Holdings 200 14 UDR+ 4,700 114 Ventas+ 4,300 178 - -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) - -------------------------------------------------------------------------------- Weingarten Realty Investors+ 600 $ 25 XL Capital, Cl A (B) 16,800 1,331 -------------- 268,650 -------------- HEALTH CARE -- 15.8% Abbott Laboratories 533,616 28,613 Aetna 71,200 3,864 Allergan 873,958 56,344 Amgen (B)* 92,803 5,250 Amylin Pharmaceuticals (B)* 154,269 7,713 Bausch & Lomb 5,300 339 Baxter International 296,632 16,694 Beckman Coulter 2,100 155 Becton Dickinson (B) 109,225 8,962 Bristol-Myers Squibb 93,100 2,683 C.R. Bard 3,300 291 Cardinal Health 55,988 3,501 Celgene (B)* 273,866 19,529 Cephalon* 2,800 205 Cerner (B)* 47,700 2,853 Charles River Laboratories International* 71,900 4,037 Chemed 7,000 435 Cigna 75,421 4,019 Cooper 2,600 136 Covance* 35,300 2,750 Cubist Pharmaceuticals* 26,800 566 Cutera* 12,100 317 Cytyc* 60,100 2,864 Dade Behring Holdings 17,000 1,298 Edwards Lifesciences* 1,600 79 Eli Lilly 121,990 6,945 Express Scripts* 104,980 5,860 Forest Laboratories* 19,129 713 Genentech* 651,730 50,848 Genzyme* 75,600 4,684 Gilead Sciences* 414,478 16,940 Health Net* 49,000 2,648 Hillenbrand Industries 4,400 242 HLTH* 62,300 883 Hologic (B)* 17,500 1,068 Hospira* 2,358 98 Humana* 11,472 802 ICU Medical (B)* 4,800 186 Intuitive Surgical (B)* 2,800 644 Invitrogen (B)* 42,900 3,506 Johnson & Johnson 561,572 36,895 Kinetic Concepts* 31,100 1,750 Laboratory of America Holdings (B)* 50,804 3,974 Manor Care 31,653 2,038 McKesson 18,812 1,106 Medco Health Solutions* 57,991 5,242 Medtronic 189,000 10,662 - -------------------------------------------------------------------------------- 38 SEI Institutional Managed Trust / Annual Report / September 30, 2007 - -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) - -------------------------------------------------------------------------------- Mentor (B) 38,200 $ 1,759 Merck 980,573 50,686 OSI Pharmaceuticals* 46,100 1,567 PDL BioPharma* 141,900 3,067 PerkinElmer 14,000 409 Pfizer 47,100 1,151 Providence Service* 3,500 103 Respironics* 3,800 183 Schering-Plough 485,591 15,359 St. Jude Medical* 477,740 21,054 Stryker (B)* 295,000 20,284 Thermo Fisher Scientific* 390,740 22,554 UnitedHealth Group 1,089,520 52,765 VCA Antech* 17,020 711 Warner Chilcott, Cl A* 7,500 133 Waters* 56,949 3,811 Watson Pharmaceuticals* 2,700 88 WellCare Health Plans* 28,300 2,984 WellPoint* 84,533 6,671 Wyeth 165,418 7,369 Zimmer Holdings* 378,000 30,614 -------------- 574,553 -------------- INDUSTRIALS -- 8.0% 3M 50,926 4,766 Acuity Brands 23,600 1,191 Administaff 25,900 940 AGCO* 11,400 579 American Standard 10,300 367 BE Aerospace* 7,900 328 Boeing 137,116 14,396 Brink's 4,300 240 Burlington Northern Santa Fe 4,700 381 C.H. Robinson Worldwide 1,966 107 Caterpillar 49,200 3,859 Ceradyne* 14,000 1,060 Con-way 18,609 856 Continental Airlines, Cl B* 5,000 165 Cooper Industries, Cl A 1,400 71 Corrections of America* 66,700 1,745 Covanta Holding* 6,000 147 CSX 2,900 124 Cummins 12,700 1,624 Danaher 1,000 83 Deere 1,200 178 Delta Air Lines* 21,700 389 Dover 53,200 2,711 Dun & Bradstreet 7,100 700 Eaton 8,700 862 Emerson Electric 545,008 29,005 Equifax 6,285 240 Expeditors International Washington 630,000 29,799 First Solar* 2,900 341 - -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) - -------------------------------------------------------------------------------- Fluor (B) 41,600 $ 5,990 Foster Wheeler* 13,400 1,759 Gardner Denver* 70,300 2,742 General Cable* 3,000 201 General Dynamics 1,700 144 General Electric 849,744 35,179 Goodrich 11,400 778 Honeywell International 105,500 6,274 Hubbell, Cl B 8,700 497 Huron Consulting Group* 11,900 864 Illinois Tool Works 22,800 1,360 Ingersoll-Rand, Cl A 14,279 778 ITT 36,900 2,507 JB Hunt Transport Services 12,200 321 Kansas City Southern* 11,500 370 Kennametal 400 34 L-3 Communications Holdings 24,600 2,513 Labor Ready* 37,000 685 Lennox International 4,400 149 Lockheed Martin 118,815 12,890 Manitowoc 35,300 1,563 Manpower 39,200 2,522 McDermott International* 10,200 552 MSC Industrial Direct, Cl A 74,000 3,744 Norfolk Southern 61,400 3,187 Northrop Grumman 58,148 4,536 Northwest Airlines* 16,100 287 Paccar 37,700 3,214 Pall 37,300 1,451 Parker Hannifin (B) 47,800 5,345 Pitney Bowes 23,549 1,070 Precision Castparts 47,421 7,017 Quanta Services* 57,600 1,523 Raytheon 56,000 3,574 Robert Half International (B) 9,300 278 Rockwell Automation 65,000 4,518 Rockwell Collins 6,747 493 Roper Industries 9,100 596 Shaw Group* 2,300 134 Stericycle* 122,490 7,001 Sunpower, Cl A* 1,800 149 Terex* 34,800 3,098 Thomas & Betts* 67,700 3,970 Toro 2,400 141 Trinity Industries (B) 77,900 2,924 UAL* 2,100 98 Union Pacific 3,900 441 United Parcel Service, Cl B (B) 458,275 34,416 United Technologies 192,430 15,487 UTI Worldwide 3,400 78 Waste Management 84,100 3,174 WW Grainger (B) 3,100 283 -------------- 290,153 -------------- - -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Annual Report / September 30, 2007 39 SCHEDULE OF INVESTMENTS Large Cap Growth Fund (Continued) September 30, 2007 - -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) - -------------------------------------------------------------------------------- INFORMATION TECHNOLOGY -- 28.1% Accenture, Cl A 81,400 $ 3,276 Activision* 90,600 1,956 Adobe Systems* 37,026 1,617 Agilent Technologies* 160,605 5,923 Akamai Technologies* 31,804 914 Alliance Data Systems* 17,800 1,378 Altera (B) 67,500 1,625 Amphenol, Cl A 1,922 76 Analog Devices 22,500 814 Apple* 316,419 48,583 Applied Materials 7,805 162 Arrow Electronics* 20,300 863 Autodesk* 5,000 250 Automatic Data Processing 55,850 2,565 Avaya* 16,200 275 Avnet* 61,300 2,443 BMC Software* 144,732 4,520 CA 6,300 162 Cadence Design Systems (B)* 240,611 5,339 CDW 3,500 305 Ceridian* 72,208 2,509 Cisco Systems* 2,221,486 73,553 Cognizant Technology Solutions, Cl A* 17,201 1,372 CommScope* 12,600 633 Compuware* 27,200 218 Cypress Semiconductor* 6,600 193 Dell* 118,946 3,283 Diebold 11,600 527 DST Systems* 24,700 2,120 eBay (B)* 1,080,600 42,165 Electronic Arts (B)* 458,270 25,659 Electronic Data Systems 57,300 1,251 EMC* 530,200 11,028 Exar* 9,600 125 F5 Networks* 10,700 398 Factset Research Systems 35,500 2,434 Fidelity National Information Services 21,100 936 Fiserv* 108,274 5,507 Google, Cl A* 206,731 117,272 Harris 27,527 1,591 Hewitt Associates, Cl A* 19,700 691 Hewlett-Packard 817,000 40,678 Intel 1,238,787 32,035 International Business Machines (B) 234,539 27,629 Intersil, Cl A 104,000 3,477 Intuit* 1,281,324 38,824 Iron Mountain* 1,412 43 Juniper Networks* 198,800 7,278 Kla-Tencor (B) 96,100 5,360 Lam Research (B)* 94,590 5,038 Lexmark International, Cl A* 14,400 598 - -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) - -------------------------------------------------------------------------------- Linear Technology (B) 357,270 $ 12,501 LSI Logic* 29,723 221 Mastercard, Cl A 38,300 5,667 McAfee* 65,100 2,270 MEMC Electronic Materials* 44,359 2,611 Mettler Toledo International* 33,500 3,417 Microsoft 2,646,158 77,956 MicroStrategy, Cl A* 15,720 1,247 MPS Group (B)* 10,200 114 NAVTEQ* 5,400 421 NCR* 13,300 662 Netlogic Microsystems (B)* 12,600 455 Network Appliance* 130,000 3,498 Novellus Systems* 5,800 158 Nvidia* 83,677 3,032 Oracle* 426,665 9,237 Paychex (B) 1,001,168 41,048 PMC - Sierra (B)* 166,500 1,397 Qualcomm 2,202,488 93,077 Rambus* 5,100 98 Red Hat* 9,300 185 Research In Motion* 920,990 90,764 Salesforce.com* 5,400 277 SanDisk (B)* 410,000 22,591 Seagate Technology 1,439,700 36,828 Silicon Laboratories* 49,100 2,050 Symantec (B)* 250,900 4,862 Synopsys* 41,536 1,125 Teradyne (B)* 80,900 1,116 Texas Instruments 219,915 8,047 Trimble Navigation* 1,500 59 Varian Semiconductor Equipment Associates (B)* 67,350 3,605 VeriFone Holdings* 5,800 257 VeriSign* 5,900 199 Western Union 1,927,394 40,417 Xerox* 10,700 186 Xilinx 8,300 217 Yahoo! (B)* 620,220 16,647 Zoran* 24,400 493 -------------- 1,026,483 -------------- MATERIALS -- 2.5% Air Products & Chemicals 8,000 782 AK Steel Holding* 69,400 3,050 Albemarle 35,700 1,578 Alcoa 54,600 2,136 Allegheny Technologies 35,500 3,903 Ball 20,600 1,107 Cabot 18,700 664 Celanese, Ser A 62,600 2,440 Cleveland-Cliffs 18,400 1,619 Crown Holdings* 76,300 1,737 - -------------------------------------------------------------------------------- 40 SEI Institutional Managed Trust / Annual Report / September 30, 2007 - -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) - -------------------------------------------------------------------------------- Domtar* 98,200 $ 805 E.I. Du Pont de Nemours 20,300 1,006 Ecolab 13,300 628 Florida Rock Industries 35,900 2,243 Freeport-McMoRan Copper & Gold, Cl B (B) 39,400 4,133 International Flavors & Fragrances 33,900 1,792 Lubrizol 2,500 163 Martin Marietta Materials 19,100 2,551 Monsanto 74,514 6,389 Mosaic* 34,300 1,836 Nalco Holding 71,200 2,111 Olin 18,200 407 Owens-Illinois* 95,800 3,971 Pactiv* 125,900 3,608 PPG Industries 6,100 461 Praxair 400,000 33,504 Reliance Steel & Aluminum 2,800 158 RPM International 4,500 108 Scotts Miracle-Gro, Cl A 2,200 94 Sealed Air 11,800 302 Sigma-Aldrich 5,500 268 Southern Copper 16,600 2,056 Steel Dynamics 7,100 331 Valspar 9,600 261 Vulcan Materials 27,000 2,407 -------------- 90,609 -------------- TELECOMMUNICATION SERVICES -- 2.0% American Tower, Cl A* 377,368 16,431 Citizens Communications 30,400 435 Crown Castle International (B)* 950,892 38,635 Leap Wireless International* 25,600 2,083 MetroPCS Communications* 5,000 136 NII Holdings* 3,670 302 Sprint Nextel 682,600 12,969 Telephone & Data Systems 31,400 2,096 Windstream 90,800 1,282 -------------- 74,369 -------------- UTILITIES -- 0.9% AES* 243,100 4,872 Allegheny Energy* 41,900 2,190 Centerpoint Energy 50,700 813 Constellation Energy Group 52,000 4,461 Dynegy, Cl A* 14,900 137 Equitable Resources 65,300 3,387 Exelon 47,200 3,557 - -------------------------------------------------------------------------------- Shares/Face Amount Market Value Description ($ Thousands) ($ Thousands) - -------------------------------------------------------------------------------- Mirant* 69,100 $ 2,811 NRG Energy (B)* 189,500 8,014 PPL 38,400 1,778 Questar 5,400 283 TXU 29,370 2,011 -------------- 34,314 -------------- Total Common Stock (Cost $2,719,179) ($ Thousands) 3,535,735 -------------- CORPORATE OBLIGATION (C)(E) -- 0.2% FINANCIALS -- 0.2% SLM EXL, Ser S 5.763%, 10/15/07 $ 6,911 6,911 -------------- Total Corporate Obligation (Cost $6,911) ($ Thousands) 6,911 -------------- ASSET-BACKED SECURITY (C) (E) (F) -- 0.2% MORTGAGE RELATED SECURITY -- 0.2% Duke Funding, Ser 2004-6B, Cl A1S1 5.430%, 10/09/07 4,712 4,712 -------------- Total Asset-Backed Security (Cost $4,712) ($ Thousands) 4,712 -------------- CASH EQUIVALENTS** -- 14.2% Merrill Lynch EBP Master, 4.035% 8,806,865 8,807 SEI Daily Income Trust, Prime Obligation Fund, Cl A, 5.350% ++ 110,829,368 110,829 SEI Liquidity Fund LP, 5.367% ++ (C) 400,018,037 400,018 -------------- Total Cash Equivalents (Cost $519,654) ($ Thousands) 519,654 -------------- U.S. TREASURY OBLIGATION (A)(D) -- 0.1% U.S. Treasury Bills 3.669%, 11/23/07 4,020 3,998 -------------- Total U.S. Treasury Obligation (Cost $3,998) ($ Thousands) 3,998 -------------- Total Investments -- 111.6% (Cost $3,254,454) ($ Thousands) $ 4,071,010 ============== - -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Annual Report / September 30, 2007 41 SCHEDULE OF INVESTMENTS Large Cap Growth Fund (Concluded) September 30, 2007 A summary of the open futures contracts held by the Fund at September 30, 2007, is as follows (see Note 2 in Notes to Financial Statements): - -------------------------------------------------------------------------------- NUMBER OF UNREALIZED TYPE OF CONTRACTS EXPIRATION APPRECIATION CONTRACT LONG (SHORT) DATE ($ THOUSANDS) - -------------------------------------------------------------------------------- S&P 500 Composite Index 236 Dec-2007 $ 973 ====== Percentages are based on Net Assets of $3,648,159 ($ Thousands). * Non-Income Producing Security. ** Rate shown is the 7-day effective yield as of September 30, 2007. +++ Narrow industries are utilized for compliance purposes, whereas broad sectors are utilized for reporting. + Real Estate Investment Trust. ++ Investment in Affiliated Security (see Note 3). (A) Security, or portion thereof, has been pledged as collateral on open futures contracts. (B) This security or a partial position of this security is on loan at September 30, 2007 (see Note 7). The total market value of securities on loan at September 30, 2007 was $400,738 ($ Thousands). (C) This security was purchased with cash collateral held from securities on loan (see Note 7). The total market value of such securities as of September 30, 2007 was $411,641 ($ Thousands). (D) The rate reported is the effective yield at time of purchase. (E) Variable Rate Security -- The rate reported on the Schedule of Investments is the rate in effect as of September 30, 2007. (F) Securities sold within terms of a private placement memorandum, exempt from registration under Section 144A of the Securities Act of 1933, as amended, and may be sold only to dealers in that program or other "accredited investors." These securities have been determined to be liquid under guidelines established by the Board of Trustees. ADR -- American Depositary Receipt Cl -- Class EXL -- Extendable Maturity LP -- Limited Partnership Ser -- Series The accompanying notes are an integral part of the financial statements. - -------------------------------------------------------------------------------- 42 SEI Institutional Managed Trust / Annual Report / September 30, 2007 Tax-Managed Large Cap Fund September 30, 2007 - -------------------------------------------------------------------------------- SECTOR WEIGHTINGS# (UNAUDITED): [THE FOLLOWING TABLE WAS REPRESENTED BY A BAR CHART IN THE PRINTED MATERIAL.] 17.6% Financials 15.2% Information Technology 13.9% Short-Term Investments 10.3% Energy 10.0% Health Care 8.9% Consumer Discretionary 7.9% Consumer Staples 7.3% Industrials 3.8% Telecommunication Services 2.0% Materials 2.9% Utilities 0.1% Asset-Backed Security 0.1% U.S. Treasury Obligations 0.0% Warrants #Percentages based on total investments. Includes investments held as collateral for securities on loan (see Note 7). - -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) - -------------------------------------------------------------------------------- COMMON STOCK -- 96.8% CONSUMER DISCRETIONARY -- 10.0% Abercrombie & Fitch, Cl A 4,600 $ 371 Amazon.com (B)* 5,800 540 American Eagle Outfitters 6,300 166 American Greetings, Cl A (B) 2,500 66 Apollo Group, Cl A (B)* 15,025 904 Asbury Automotive Group 14,200 281 Autoliv 63,500 3,794 Autonation* 18,800 333 Autozone* 3,200 372 Barnes & Noble 21,250 749 Bed Bath & Beyond (B)* 5,700 194 Best Buy (B) 30,775 1,416 Big Lots (B)* 30,600 913 Black & Decker (B) 15,550 1,295 Bob Evans Farms 7,700 232 BorgWarner 9,900 906 Brinker International 91,750 2,518 Brunswick 2,700 62 Cablevision Systems, Cl A* 9,900 346 Carmax* 4,080 83 Carnival 1,100 53 Cavco Industries* 130 4 CBRL Group 5,000 204 CBS, Cl B (B) 161,869 5,099 CEC Entertainment* 3,000 81 Centex (B) 31,250 830 Cheesecake Factory* 1,125 26 Citadel Broadcasting 3,965 17 Clear Channel Communications 1,400 52 Clear Channel Outdoor Holdings, Cl A* 9,900 252 Coach* 41,600 1,966 Comcast, Cl A (B)* 260,861 6,308 Comcast, Special Cl A* 7,050 169 CROCS (B)* 2,500 168 - -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) - -------------------------------------------------------------------------------- DaimlerChrysler 7,500 $ 752 Darden Restaurants 17,600 737 DeVry 1,021 38 Dick's Sporting Goods (B)* 14,600 980 Dillard's, Cl A (B) 23,900 522 DIRECTV Group* 150,465 3,653 Discovery Holding, Cl A* 4,780 138 Dollar Tree Stores* 68,800 2,789 Dow Jones 203 12 DR Horton 5,650 72 DreamWorks Animation SKG, Cl A* 5,600 187 Eastman Kodak (B) 61,100 1,635 EchoStar Communications, Cl A* 40,350 1,889 Ethan Allen Interiors (B) 30,500 997 Expedia* 1,535 49 Foot Locker 5,350 82 Ford Motor (B) 110,000 934 Fortune Brands (B) 97,302 7,929 GameStop, Cl A* 3,622 204 Gannett 34,600 1,512 Gap 12,950 239 Garmin 500 60 Gemstar-TV Guide International* 216 2 General Motors (B) 131,000 4,808 Gentex (B) 57,900 1,241 Genuine Parts 4,950 248 Goodyear Tire & Rubber* 55,150 1,677 Group 1 Automotive 4,800 161 Gymboree* 23,900 842 H&R Block (B) 6,800 144 Harley-Davidson (B) 12,500 578 Harrah's Entertainment 3,403 296 Hasbro (B) 141,000 3,931 Hearst-Argyle Television 700 18 Hilton Hotels 8,250 384 Home Depot (B) 352,700 11,442 IAC/InterActive* 6,192 184 Idearc 19,099 601 International Game Technology 396,200 17,076 International Speedway, Cl A 600 28 Interpublic Group (B)* 3,050 32 ITT Educational Services* 1,200 146 J Crew Group* 3,000 125 J.C. Penney 45,700 2,896 Jack in the Box* 20,100 1,303 Johnson Controls 4,600 543 Jones Apparel Group (B) 26,000 549 KB Home (B) 38,100 955 Kohl's* 12,450 714 Lamar Advertising, Cl A (B) 41,379 2,026 Las Vegas Sands (B)* 1,850 247 Leggett & Platt 64,050 1,227 Lennar, Cl A 2,600 59 Lennar, Cl B 260 6 - -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Annual Report / September 30, 2007 43 SCHEDULE OF INVESTMENTS Tax-Managed Large Cap Fund (Continued) September 30, 2007 - -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) - -------------------------------------------------------------------------------- Liberty Global, Cl A (B)* 17,970 $ 737 Liberty Global, Ser C* 2,201 85 Liberty Media Holding-Capital, Ser A* 2,390 298 Liberty Media Holding-Interactive, Cl A* 10,650 205 Limited Brands 9,450 216 Live Nation* 568 12 Liz Claiborne 1,700 58 Lowe's (B) 342,524 9,598 Macy's 116,922 3,779 Magna International, Cl A 20,000 1,926 Marriott International, Cl A 11,600 504 Mattel 124,800 2,928 McDonald's 393,662 21,443 McGraw-Hill 208,581 10,619 MDC Holdings 1,150 47 MGM Mirage* 204,000 18,246 Midas* 6,000 113 Mohawk Industries (B)* 1,900 154 Morgans Hotel Group* 8,600 187 Newell Rubbermaid 94,720 2,730 News, Cl A 31,694 697 Nike, Cl B (B) 126,400 7,415 Nordstrom 9,800 460 NVR* 100 47 O'Reilly Automotive* 1,800 60 Office Depot* 18,100 373 OfficeMax 600 21 Omnicom Group 25,700 1,236 PetSmart 2,400 77 Pulte Homes 27,600 376 RadioShack (B) 18,300 378 Regal Entertainment Group, Cl A 3,550 78 Rent-A-Center* 3,600 65 Reuters Group ADR (B)* 120,000 9,511 Ross Stores 5,200 133 Ruby Tuesday 1,300 24 Saks (B) 44,300 760 Sears Holdings (B)* 2,690 342 Shaw Communications, Cl B* 84,600 2,101 Sherwin-Williams 21,600 1,419 Sirius Satellite Radio (B)* 15,600 54 Snap-On 3,900 193 Stanley Works 12,600 707 Staples 679,525 14,603 Starbucks* 168,530 4,415 Starwood Hotels & Resorts Worldwide 13,150 799 Target (B) 85,910 5,461 Tempur-Pedic International (B) 7,100 254 Tiffany 1,300 68 Time Warner (B) 769,319 14,125 TJX 24,000 698 TravelCenters of America LLC* 90 3 - -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) - -------------------------------------------------------------------------------- Tribune 41,646 $ 1,138 TRW Automotive Holdings* 2,800 89 Under Armour, Cl A (B)* 12,800 766 Urban Outfitters* 3,950 86 Valassis Communications (B)* 31,800 284 VF 15,900 1,284 Viacom, Cl B* 120,984 4,715 Virgin Media 4,250 103 WABCO Holdings* 1,200 56 Walt Disney 180,100 6,194 Washington Post, Cl B 100 80 Weight Watchers International (B) 240,000 13,814 Wendy's International 18,600 649 Whirlpool (B) 20,000 1,782 Williams-Sonoma (B) 154,990 5,056 Wyndham Worldwide (B) 11,330 371 Wynn Resorts (B) 6,500 1,024 Yum! Brands 67,100 2,270 -------------- 291,268 -------------- CONSUMER STAPLES -- 9.0% Altria Group 241,380 16,783 Anheuser-Busch 42,200 2,110 Archer-Daniels-Midland 40,257 1,332 Avon Products 11,200 420 BJ's Wholesale Club* 9,000 298 Brown-Forman, Cl B 1,200 90 Bunge (B) 9,500 1,021 Campbell Soup 7,500 277 Clorox 3,950 241 Coca-Cola 322,800 18,551 Coca-Cola Enterprises 109,250 2,646 Colgate-Palmolive 58,902 4,201 ConAgra Foods 261,500 6,833 Constellation Brands, Cl A* 3,000 73 Costco Wholesale (B) 150,809 9,255 CVS 399,515 15,833 Dean Foods 18,110 463 Del Monte Foods 121,900 1,280 Energizer Holdings (B)* 6,400 709 General Mills 46,500 2,697 Hershey (B) 3,600 167 HJ Heinz 2,150 99 Hormel Foods 4,000 143 Kellogg 27,900 1,562 Kimberly-Clark 99,200 6,970 Kraft Foods, Cl A 246,350 8,502 Kroger 232,400 6,628 Loews - Carolina 5,300 436 McCormick 2,100 76 Molson Coors Brewing, Cl B 22,200 2,213 Nu Skin Enterprises, Cl A 21,400 346 Pepsi Bottling Group 52,000 1,933 - -------------------------------------------------------------------------------- 44 SEI Institutional Managed Trust / Annual Report / September 30, 2007 - -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) - -------------------------------------------------------------------------------- PepsiCo 358,377 $ 26,255 Pilgrim's Pride (B) 7,500 260 Procter & Gamble 862,296 60,654 Ralcorp Holdings* 6,700 374 Reynolds American (B) 85,000 5,405 Safeway (B) 145,034 4,802 Sanderson Farms 2,600 108 Sara Lee 60,900 1,016 Smithfield Foods* 2,700 85 Supervalu 80,450 3,138 Sysco 13,450 479 TreeHouse Foods* 282 8 Tyson Foods, Cl A 26,372 471 UST 13,100 650 Wal-Mart Stores 413,698 18,058 Walgreen 414,450 19,579 Whole Foods Market (B) 2,500 122 WM Wrigley Jr. 63,967 4,109 -------------- 259,761 -------------- ENERGY -- 11.6% Anadarko Petroleum 63,500 3,413 Apache 26,571 2,393 Arch Coal 3,800 128 Baker Hughes 296,358 26,782 BJ Services 5,400 143 Cabot Oil & Gas 1,000 35 Cameron International* 3,750 346 Chesapeake Energy (B) 59,100 2,084 Chevron 481,162 45,027 Cimarex Energy 25,685 957 ConocoPhillips 282,888 24,829 Consol Energy (B) 2,800 130 Cross Timbers Royalty Trust 53 2 Devon Energy 84,490 7,030 Dresser-Rand Group* 2,650 113 El Paso 30,300 514 ENSCO International 6,000 337 EOG Resources 2,900 210 Exxon Mobil 1,039,082 96,177 FMC Technologies (B)* 15,000 865 Forest Oil* 1,150 50 Foundation Coal Holdings 2,050 80 Frontier Oil 1,400 58 Frontline (B)* 1,300 63 GlobalSantaFe 2,500 190 Grant Prideco* 9,100 496 Halliburton (B) 298,716 11,471 Helix Energy Solutions Group* 3,950 168 Helmerich & Payne 4,300 141 Hess 44,650 2,971 Holly 30,600 1,831 Hornbeck Offshore Services (B)* 28,300 1,039 - -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) - -------------------------------------------------------------------------------- Marathon Oil 256,474 $ 14,624 Mariner Energy* 931 19 Massey Energy 2,200 48 Murphy Oil (B) 7,800 545 National Oilwell Varco* 10,430 1,507 Newfield Exploration* 5,100 246 Noble (B) 18,800 922 Noble Energy 20,950 1,467 Occidental Petroleum 231,930 14,862 Patterson-UTI Energy 14,000 316 Peabody Energy (B) 4,400 211 Petro-Canada 27,000 1,550 Pioneer Natural Resources 9,900 445 Pogo Producing 3,450 183 Pride International* 1,050 38 Rowan 5,600 205 Schlumberger (B) 265,466 27,874 Smith International (B) 7,200 514 Spectra Energy 10,922 267 Suncor Energy 165,284 15,671 Sunoco 62,900 4,452 Superior Energy Services* 1,200 43 Teekay Shipping (B) 900 53 Tesoro 1,100 51 Tidewater 950 60 Transocean (B)* 4,700 531 Unit* 10,750 520 Valero Energy 85,494 5,744 Weatherford International (B)* 152,180 10,223 Williams 10,500 358 XTO Energy 23,776 1,470 -------------- 335,092 -------------- FINANCIALS -- 19.6% ACE 24,500 1,484 Affiliated Managers Group (B)* 1,350 172 Aflac 9,650 550 Alleghany* 100 41 Allied World Assurance Holdings 1,000 52 Allstate 216,800 12,399 AMB Property+ 1,700 102 AMBAC Financial Group (B) 5,200 327 American Express 270,409 16,054 American Financial Group 40,400 1,152 American International Group 378,051 25,575 American National Insurance 300 39 AmeriCredit (B)* 2,850 50 Ameriprise Financial 10,100 637 Ameris Bancorp 1,200 22 Annaly Capital Management+ 9,300 148 AON (B) 79,550 3,565 Arch Capital Group* 9,800 729 Archstone-Smith Trust+ 4,550 274 - -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Annual Report / September 30, 2007 45 SCHEDULE OF INVESTMENTS Tax-Managed Large Cap Fund (Continued) September 30, 2007 - -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) - -------------------------------------------------------------------------------- Arthur J. Gallagher 950 $ 28 Ashford Hospitality Trust+ 35,800 360 Assurant 43,100 2,306 Astoria Financial 41,100 1,090 AvalonBay Communities+ 600 71 Axis Capital Holdings 95,750 3,726 Banco Bilbao Viscaya Argentaria ADR 2,254 52 Bank of America 983,025 49,417 Bank of Hawaii 50 3 Bank of New York Mellon 32,784 1,447 BB&T 120,700 4,875 Bear Stearns (B) 20,000 2,456 Boston Properties+ 1,600 166 Brandywine Realty Trust+ 9,300 235 Brookfield Asset Management, Cl A* 48,100 1,852 Camden Property Trust+ 800 51 Capital One Financial (B) 17,901 1,189 CapitalSource+ (B) 3,700 75 CB Richard Ellis Group, Cl A* 3,300 92 CBL & Associates Properties+ 1,700 60 Central Pacific Financial 2,800 82 Charles Schwab 484,993 10,476 Chubb 133,800 7,177 Cincinnati Financial 40,752 1,765 CIT Group 93,600 3,763 Citigroup 1,019,162 47,564 CME Group 39,710 23,324 Colonial Properties Trust+ 2,100 72 Comerica 107,900 5,533 Commerce Bancorp 800 31 Countrywide Financial (B) 138,498 2,633 Credicorp 1,500 102 Discover Financial Services* 247,565 5,149 Duke Realty+ 5,550 188 E*Trade Financial* 2,500 33 Equity Residential+ (B) 8,950 379 Erie Indemnity, Cl A 3,500 214 Everest Re Group 49,400 5,446 Fannie Mae 97,890 5,953 Federal Realty Investment Trust+ 300 27 Fidelity National Financial, Cl A 35,734 625 Fifth Third Bancorp 5,600 190 First Horizon National (B) 25,400 677 First Marblehead (B) 1,275 48 FirstMerit 2,600 51 Forest City Enterprises, Cl A 1,350 74 Franklin Resources 25,200 3,213 Freddie Mac 278,797 16,452 General Growth Properties+ 3,800 204 Genworth Financial, Cl A 45,700 1,404 Goldman Sachs Group 56,400 12,224 Greater Bay Bancorp 1,850 51 Hanover Insurance Group 37,900 1,675 Hartford Financial Services Group 73,600 6,812 - -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) - -------------------------------------------------------------------------------- HCC Insurance Holdings 3,000 $ 86 HCP+ (B) 2,200 73 Health Care+ (B) 650 29 Highwoods Properties+ 1,500 55 Hospitality Properties Trust+ (B) 53,400 2,171 Host Hotels & Resorts+ (B) 16,732 375 HRPT Properties Trust+ 7,250 72 Hudson City Bancorp 33,000 508 Huntington Bancshares 101,750 1,728 IndyMac Bancorp (B) 21,800 515 IntercontinentalExchange (B)* 143,900 21,858 Investment Technology Group* 2,400 103 iStar Financial+ 4,600 156 Janus Capital Group (B) 71,900 2,033 Jones Lang LaSalle 14,700 1,511 JPMorgan Chase 764,620 35,035 Keycorp (B) 226,600 7,326 Kimco Realty+ 1,600 72 Lazard, Cl A 1,200 51 Legg Mason (B) 56,060 4,725 Lehman Brothers Holdings (B) 79,338 4,898 Liberty Property Trust+ 1,650 66 Lincoln National 69,836 4,607 Loews 71,600 3,462 M&T Bank 1,750 181 Macerich+ 1,350 118 Mack-Cali Realty+ 2,400 99 Manulife Financial 9,245 381 Markel* 100 48 Marsh & McLennan 4,453 114 Marshall & Ilsley 4,600 201 MBIA (B) 65,600 4,005 Merrill Lynch (B) 265,700 18,939 Metlife (B) 61,500 4,288 MGIC Investment (B) 26,500 856 Montpelier Re Holdings 21,900 388 Moody's (B) 25,300 1,275 Morgan Stanley 352,950 22,236 NASDAQ Stock Market* 1,200 45 National City 222,700 5,588 Nationwide Financial Services, Cl A 37,850 2,037 New York Community Bancorp (B) 2,237 43 Northern Trust 3,400 225 NorthStar Realty Finance+ (B) 63,000 626 Nuveen Investments, Cl A 1,200 74 Nymex Holdings (B) 1,300 169 NYSE Euronext 1,000 79 Old Republic International 76,506 1,434 People's United Financial 4,725 82 Philadelphia Consolidated Holding* 1,500 62 Phoenix 15,400 217 Piper Jaffray* 366 20 Plum Creek Timber+ (B) 4,700 210 PMI Group 75,400 2,466 - -------------------------------------------------------------------------------- 46 SEI Institutional Managed Trust / Annual Report / September 30, 2007 - -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) - -------------------------------------------------------------------------------- PNC Financial Services Group 36,507 $ 2,486 Popular (B) 33,400 410 Principal Financial Group 86,800 5,476 Progressive (B) 15,600 303 Prologis+ 13,854 919 Protective Life 2,000 85 Prudential Financial 57,900 5,650 Public Storage+ 2,050 161 Raymond James Financial 2,025 67 Rayonier+ 1,600 77 Realty Income+ (B) 1,050 29 Regency Centers+ 850 65 Regions Financial 196,322 5,788 Reinsurance Group of America 55,700 3,158 RenaissanceRe Holdings 900 59 Safeco (B) 84,500 5,173 SeaBright Insurance Holdings* 2,500 43 Security Capital Assurance 20,400 466 Simon Property Group+ (B) 9,925 992 SL Green Realty+ (B) 750 88 SLM 10,950 544 Sovereign Bancorp 8,190 140 St. Joe (B) 1,750 59 State Street 2,255 154 SunTrust Banks (B) 99,050 7,495 SVB Financial Group (B)* 1,550 73 Synovus Financial 900 25 T. Rowe Price Group 5,000 278 Taubman Centers+ 2,350 129 TCF Financial 2,200 58 TD Ameritrade Holding* 42,050 766 Torchmark 2,450 153 Toronto-Dominion Bank 541 41 Transatlantic Holdings 1,100 77 Travelers 264,531 13,316 UnionBanCal 25,050 1,463 Unitrin 550 27 UnumProvident (B) 47,750 1,168 US Bancorp 463,061 15,063 Ventas+ 3,450 143 Vornado Realty Trust+ 1,700 186 Wachovia (B) 349,034 17,504 Waddell & Reed Financial, Cl A 3,900 105 Washington Mutual (B) 322,637 11,392 Weingarten Realty Investors+ 700 29 Wells Fargo 273,400 9,738 Whitney Holding 1,200 32 WR Berkley 1,700 50 XL Capital, Cl A 18,600 1,473 Zenith National Insurance 3,700 166 Zions Bancorporation 800 55 -------------- 567,952 -------------- - -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) - -------------------------------------------------------------------------------- HEALTH CARE -- 11.3% Abbott Laboratories 190,500 $ 10,215 Advanced Medical Optics (B)* 1,222 37 Aetna 48,600 2,638 Alcon (B) 3,800 547 Allergan 438,708 28,284 AmerisourceBergen 63,502 2,879 Amgen* 73,742 4,172 AMN Healthcare Services* 3,600 67 Amylin Pharmaceuticals (B)* 82,870 4,144 Applera -- Applied Biosystems Group 11,150 386 Barr Pharmaceuticals* 1,650 94 Bausch & Lomb 750 48 Baxter International 123,800 6,967 Beckman Coulter 600 44 Becton Dickinson 32,550 2,671 Biogen Idec* 5,220 346 Boston Scientific* 20,717 289 Bristol-Myers Squibb 28,700 827 C.R. Bard 3,800 335 Cantel Medical* 2,000 31 Cardinal Health 28,930 1,809 Celgene (B)* 130,720 9,322 Cephalon* 400 29 Charles River Laboratories International* 32,700 1,836 Chemed 900 56 Cigna 99,600 5,308 Community Health Systems* 1,700 53 Cooper 1,600 84 Covance* 350 27 Coventry Health Care* 2,224 138 Covidien* 8,050 334 Cubist Pharmaceuticals* 7,500 159 Cytyc* 3,000 143 Dade Behring Holdings 1,300 99 DaVita* 2,325 147 Dentsply International 900 38 Dionex* 4,900 389 Eli Lilly 22,841 1,300 Express Scripts* 38,300 2,138 Forest Laboratories* 35,400 1,320 Gen-Probe* 800 53 Genentech (B)* 348,540 27,193 Genzyme* 5,250 325 Gilead Sciences* 205,960 8,418 Health Net* 1,600 87 HLTH (B)* 10,300 146 Hologic (B)* 7,300 445 Hospira* 4,060 168 Humana* 8,600 601 ICU Medical* 1,600 62 - -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Annual Report / September 30, 2007 47 SCHEDULE OF INVESTMENTS Tax-Managed Large Cap Fund (Continued) September 30, 2007 - -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) - -------------------------------------------------------------------------------- ImClone Systems* 650 $ 27 IMS Health 3,944 121 Intuitive Surgical* 750 173 Invitrogen* 14,550 1,189 Johnson & Johnson 386,130 25,369 King Pharmaceuticals* 133,500 1,565 Laboratory of America Holdings* 14,000 1,095 Lincare Holdings* 1,750 64 Manor Care 1,850 119 McKesson 45,226 2,659 Medco Health Solutions* 18,996 1,717 Medicis Pharmaceutical, Cl A (B) 1,000 31 Medtronic 31,400 1,771 Mentor (B) 18,500 852 Merck 599,425 30,984 Millennium Pharmaceuticals (B)* 3,950 40 Millipore* 700 53 Mylan Laboratories 9,900 158 Omnicare (B) 1,044 35 OSI Pharmaceuticals (B)* 14,400 489 Patterson* 2,100 81 PDL BioPharma* 2,150 46 PerkinElmer 11,950 349 Pfizer 1,463,733 35,759 Pharmaceutical Product Development 4,300 152 PharMerica (B)* 1,320 20 Possis Medical* 2,100 28 Quest Diagnostics 2,400 139 Quidel* 17,000 333 Resmed* 1,200 51 Schering-Plough 218,231 6,903 Sepracor* 1,900 52 St. Jude Medical* 279,650 12,324 STERIS 5,400 148 Stryker (B)* 134,537 9,251 Tenet Healthcare (B)* 86,900 292 Thermo Fisher Scientific* 163,486 9,436 UnitedHealth Group 520,092 25,188 Universal Health Services, Cl B 800 44 Valeant Pharmaceuticals International 6,000 93 Varian Medical Systems* 2,300 96 Waters* 11,500 770 Watson Pharmaceuticals* 1,550 50 WellCare Health Plans* 600 63 WellPoint* 67,448 5,323 Wyeth 194,072 8,646 Zimmer Holdings* 199,300 16,141 -------------- 327,537 -------------- INDUSTRIALS -- 8.3% 3M 52,600 4,922 ACCO Brands* 482 11 Acuity Brands 5,000 252 - -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) - -------------------------------------------------------------------------------- Administaff 9,600 $ 348 AGCO (B)* 2,600 132 Alliant Techsystems (B)* 1,300 142 Allied Waste Industries (B)* 6,854 87 American Standard 3,600 128 AMR* 5,750 128 Avery Dennison 1,200 68 Avis Budget Group* 5,200 119 Boeing 70,903 7,444 Brink's 650 36 Burlington Northern Santa Fe 12,900 1,047 C.H. Robinson Worldwide 3,200 174 Caterpillar 78,800 6,180 ChoicePoint (B)* 34,500 1,308 Cintas 700 26 Continental Airlines, Cl B (B)* 2,450 81 Cooper Industries, Cl A 1,400 72 Covanta Holding* 1,150 28 Crane 850 41 CSX 42,800 1,829 Cummins 36,800 4,706 Danaher (B) 5,400 447 Deere 32,850 4,876 Dover 7,050 359 DRS Technologies 1,050 58 Dun & Bradstreet 18,400 1,814 Eaton 58,200 5,764 Emerson Electric 233,700 12,437 EnPro Industries* 2,700 110 Equifax 10,774 411 Expeditors International Washington 325,400 15,391 Fastenal 2,800 127 FedEx 13,400 1,404 First Solar* 600 71 Flowserve 6,000 457 Fluor 20,650 2,973 Foster Wheeler* 1,400 184 Gardner Denver* 21,200 827 GATX 1,600 68 General Cable* 900 60 General Dynamics 6,200 524 General Electric 1,378,122 57,054 Goodrich 3,950 269 Granite Construction 2,800 148 Harsco 4,600 273 Herman Miller 950 26 Hertz Global Holdings* 3,600 82 Honeywell International 88,700 5,275 Hubbell, Cl B 7,250 414 Hudson Highland Group* 750 10 Huron Consulting Group* 6,200 450 IKON Office Solutions 5,300 68 Illinois Tool Works 14,200 847 Ingersoll-Rand, Cl A 114,900 6,259 - -------------------------------------------------------------------------------- 48 SEI Institutional Managed Trust / Annual Report / September 30, 2007 - -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) - -------------------------------------------------------------------------------- ITT 7,200 $ 489 Jacobs Engineering Group* 2,080 157 JB Hunt Transport Services 1,800 47 Joy Global (B) 1,800 92 Kansas City Southern (B)* 2,600 84 KBR* 3,300 128 Kirby* 2,100 93 L-3 Communications Holdings 25,000 2,553 Labor Ready* 21,000 389 Lockheed Martin 56,000 6,075 Manitowoc 1,300 58 Manpower 2,200 142 Masco (B) 153,150 3,548 McDermott International* 4,800 260 Monster Worldwide* 5,000 170 MSC Industrial Direct, Cl A 15,800 799 Norfolk Southern 98,300 5,103 Northrop Grumman 143,334 11,180 Paccar 10,112 862 Pacer International 4,900 93 Pall 4,750 185 Parker Hannifin (B) 67,500 7,549 Pentair 2,400 80 PHH* 957 25 Pitney Bowes 4,450 202 Precision Castparts 1,200 178 Quanta Services (B)* 8,100 214 Raytheon 25,800 1,647 Republic Services 9,600 314 Robert Half International 14,200 424 Rockwell Automation 24,400 1,696 Rockwell Collins 7,900 577 RR Donnelley & Sons 63,500 2,322 Ryder System 19,800 970 Shaw Group* 1,550 90 Skywest 4,400 111 Southwest Airlines 18,950 280 SPX 13,850 1,282 Steelcase, Cl A 4,450 80 Stericycle* 22,000 1,258 Terex* 2,250 200 Textron 18,200 1,132 Thomas & Betts* 10,900 639 Timken 27,500 1,022 Trinity Industries (B) 8,700 327 UAL (B)* 900 42 Union Pacific 8,100 916 United Parcel Service, Cl B 248,400 18,655 United Rentals* 7,750 249 United Technologies 173,112 13,932 URS* 900 51 US Airways Group (B)* 1,800 47 USG (B)* 1,400 53 - -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) - -------------------------------------------------------------------------------- UTI Worldwide 2,400 $ 55 Viad 850 31 Waste Management 21,200 800 WW Grainger (B) 4,800 438 -------------- 239,241 -------------- INFORMATION TECHNOLOGY -- 17.1% 3Com* 6,400 32 Accenture, Cl A 4,100 165 Activision* 1,800 39 Acxiom 1,200 24 ADC Telecommunications* 3,200 63 Adobe Systems (B)* 45,712 1,996 Advanced Micro Devices (B)* 7,950 105 Advent Software (B)* 1,400 66 Affiliated Computer Services, Cl A* 2,100 105 Agilent Technologies* 48,600 1,792 Akamai Technologies (B)* 6,400 184 Altera (B) 6,400 154 Amkor Technology* 16,800 194 Amphenol, Cl A 2,200 87 Analog Devices (B) 11,050 400 Andrew* 9,250 128 Apple* 139,350 21,396 Applied Materials (B) 102,008 2,112 Arrow Electronics* 44,500 1,892 Atmel* 4,600 24 Autodesk* 4,100 205 Automatic Data Processing 31,200 1,433 Avaya* 7,550 128 Avnet* 39,000 1,555 AVX 9,900 159 BEA Systems* 9,850 137 BMC Software* 14,400 450 Broadcom, Cl A* 6,450 235 Broadridge Financial Solutions 3,275 62 CA (B) 23,568 606 Cadence Design Systems (B)* 57,200 1,269 CDW 1,795 156 Ceridian* 1,482 51 Check Point Software Technologies* 75,900 1,911 Checkfree (B)* 1,600 74 Ciena* 1,500 57 Cisco Systems* 872,133 28,876 Citrix Systems* 31,300 1,262 Cognizant Technology Solutions, Cl A* 11,456 914 Computer Sciences* 40,200 2,247 Compuware (B)* 44,362 356 Corning 25,700 633 CSG Systems International (B)* 8,100 172 Cypress Semiconductor* 6,250 183 Dell* 31,600 872 - -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Annual Report / September 30, 2007 49 SCHEDULE OF INVESTMENTS Tax-Managed Large Cap Fund (Continued) September 30, 2007 - -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) - -------------------------------------------------------------------------------- Diebold 2,900 $ 132 Dolby Laboratories, Cl A* 4,600 160 DST Systems* 850 73 eBay (B)* 531,534 20,740 Electronic Arts* 247,762 13,872 Electronic Data Systems 56,700 1,238 EMC* 175,900 3,659 Exar* 35,800 468 F5 Networks* 2,100 78 Fair Isaac 23,725 857 Fairchild Semiconductor International* 1,700 32 Fidelity National Information Services 5,129 228 Fiserv* 25,950 1,320 Global Payments 4,000 177 Google, Cl A* 97,015 55,034 Harris 6,000 347 Hewlett-Packard 414,838 20,655 Ingram Micro, Cl A* 86,400 1,694 Integrated Device Technology* 9,200 142 Intel 495,036 12,802 International Business Machines (B) 96,936 11,419 International Rectifier* 950 31 Intersil, Cl A 33,650 1,125 Intuit* 614,700 18,625 Iron Mountain* 4,725 144 Jabil Circuit 2,650 61 Juniper Networks (B)* 98,450 3,604 Kemet (B)* 6,000 44 Kla-Tencor (B) 16,200 904 Lam Research (B)* 26,300 1,401 Lexmark International, Cl A* 33,600 1,395 Linear Technology (B) 191,711 6,708 LSI Logic (B)* 6,906 51 Mastercard, Cl A 1,200 178 McAfee* 4,400 153 MEMC Electronic Materials* 1,700 100 Mettler Toledo International* 3,500 357 Microchip Technology 3,650 133 Micron Technology (B)* 5,800 64 Microsoft 794,488 23,406 MKS Instruments* 1,750 33 Molex 700 19 MoneyGram International 1,700 38 Motorola 193,750 3,590 National Semiconductor 24,800 673 NAVTEQ* 2,150 168 Network Appliance* 38,300 1,031 Novell* 3,500 27 Novellus Systems* 5,300 144 Nvidia* 66,150 2,397 Oracle* 157,785 3,416 Paychex (B) 543,980 22,303 - -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) - -------------------------------------------------------------------------------- Perot Systems, Cl A* 6,700 $ 113 PMC - Sierra (B)* 35,650 299 Polycom* 11,200 301 QLogic* 4,300 58 Qualcomm 1,111,562 46,975 Red Hat* 3,800 75 Research In Motion* 495,810 48,862 Salesforce.com* 1,500 77 SanDisk (B)* 238,150 13,122 Sanmina-SCI* 147,400 312 Seagate Technology (B) 892,000 22,817 Semtech* 5,750 118 Sigma Designs (B)* 19,100 921 Silicon Laboratories* 800 33 Solectron (B)* 216,300 844 SPSS* 4,300 177 Sun Microsystems* 106,000 595 Sybase* 1,200 28 SYKES Enterprises (B)* 6,800 113 Symantec (B)* 205,327 3,979 Synopsys* 2,789 76 Tech Data* 15,593 626 Tektronix 55,600 1,542 Tellabs* 8,050 77 Teradyne* 9,400 130 Texas Instruments 44,100 1,614 Unisys* 6,200 41 Varian Semiconductor Equipment Associates* 7,950 425 Verigy* 863 21 VeriSign* 7,450 251 Vishay Intertechnology (B)* 81,300 1,059 Western Digital* 35,400 896 Western Union 1,080,981 22,668 Xerox* 210,400 3,648 Xilinx 11,000 288 Yahoo! (B)* 348,163 9,345 Zebra Technologies, Cl A* 450 16 Zoran* 28,300 572 ------------- 495,525 ------------- MATERIALS -- 3.3% Air Products & Chemicals 9,900 968 AK Steel Holding* 2,000 88 Alcan 8,000 801 Alcoa 180,100 7,046 Allegheny Technologies 2,855 314 Ashland 17,700 1,066 Ball 4,400 236 Carpenter Technology 450 58 Chemtura 4,350 39 Crown Holdings* 3,000 68 Dow Chemical 211,900 9,124 - -------------------------------------------------------------------------------- 50 SEI Institutional Managed Trust / Annual Report / September 30, 2007 - -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) - -------------------------------------------------------------------------------- E.I. Du Pont de Nemours (B) 110,200 $ 5,462 Eagle Materials 1,506 54 Eastman Chemical 24,400 1,628 Ecolab 11,200 529 Florida Rock Industries (B) 900 56 Freeport-McMoRan Copper & Gold, Cl B (B) 15,410 1,616 Hercules 3,250 68 Huntsman 1,600 42 International Flavors & Fragrances 3,100 164 International Paper 164,000 5,883 Lubrizol 52,500 3,416 Lyondell Chemical 2,900 134 Martin Marietta Materials (B) 550 73 MeadWestvaco 2,450 72 Methanex 58,300 1,481 Monsanto 12,438 1,066 Mosaic* 1,300 70 Newmont Mining 10,000 447 Nova Chemicals 19,700 760 Nucor 107,100 6,369 Olin 25,000 559 OM Group* 12,600 665 Owens-Illinois* 2,750 114 Pactiv* 20,700 593 PPG Industries 71,400 5,394 Praxair 235,800 19,751 Quanex (B) 30,750 1,445 Reliance Steel & Aluminum 1,200 68 Rock-Tenn, Cl A 3,000 87 Rohm & Haas (B) 35,800 1,993 RPM International 3,000 72 Sealed Air (B) 21,000 537 Sigma-Aldrich 2,700 132 Smurfit-Stone Container* 49,800 582 Sonoco Products 20,200 610 Southern Copper (B) 23,900 2,960 Steel Dynamics (B) 58,900 2,751 Temple-Inland 1,100 58 Terra Industries* 5,700 178 Titanium Metals (B)* 1,450 49 Tronox, Cl B 655 6 United States Steel 34,200 3,623 Valspar 40,800 1,110 Weyerhaeuser 35,107 2,538 -------------- 95,073 -------------- TELECOMMUNICATION SERVICES -- 4.3% Alltel 16,050 1,118 American Tower, Cl A* 175,604 7,646 AT&T (B) 1,024,161 43,332 Atlantic Tele-Network 7,700 280 CenturyTel 97,400 4,502 - -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) - -------------------------------------------------------------------------------- Citizens Communications (B) 13,450 $ 193 Crown Castle International (B)* 498,112 20,238 Embarq 20,576 1,144 Level 3 Communications (B)* 14,400 67 NII Holdings* 1,600 131 Qwest Communications International (B)* 52,061 477 SBA Communications, Cl A* 2,550 90 Sprint Nextel 834,932 15,864 Telephone & Data Systems 2,600 174 Telephone & Data Systems, Special Shares 2,600 161 US Cellular* 6,500 638 Verizon Communications 614,905 27,228 Vodafone Group ADR (B) 22,600 820 Windstream 59,623 842 -------------- 124,945 -------------- UTILITIES -- 2.3% AES* 94,550 1,895 Allegheny Energy* 11,900 622 Alliant Energy 51,100 1,958 Ameren (B) 60,000 3,150 American Electric Power 131,700 6,069 Aqua America (B) 1,333 30 Centerpoint Energy (B) 38,600 619 Consolidated Edison (B) 18,000 833 Constellation Energy Group 17,300 1,484 Dominion Resources 5,900 497 DTE Energy (B) 96,120 4,656 Duke Energy 21,844 408 Dynegy, Cl A* 6,800 63 Edison International 40,300 2,235 Energen 33,300 1,902 Energy East 1,250 34 Entergy 45,250 4,900 Equitable Resources 900 47 Exelon 28,600 2,155 FirstEnergy 104,700 6,632 FPL Group 6,900 420 Great Plains Energy 3,550 102 Idacorp 1,450 48 Nicor 2,350 101 NiSource 3,250 62 NRG Energy (B)* 45,800 1,937 OGE Energy 6,100 202 Pepco Holdings 111,000 3,006 PG&E 91,950 4,395 Pinnacle West Capital (B) 25,600 1,011 PPL 9,800 454 Progress Energy 18,750 878 Public Service Enterprise Group 48,900 4,303 Questar 8,400 441 - -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Annual Report / September 30, 2007 51 SCHEDULE OF INVESTMENTS Tax-Managed Large Cap Fund (Concluded) September 30, 2007 - -------------------------------------------------------------------------------- Shares/Face Amount Market Value Description ($ Thousands) ($ Thousands) - -------------------------------------------------------------------------------- Reliant Energy* 64,262 $ 1,645 Sempra Energy 7,450 433 Southern (B) 13,800 501 TECO Energy 92,100 1,513 TXU 20,000 1,369 UGI 9,400 244 Wisconsin Energy 18,200 820 Xcel Energy 118,800 2,559 -------------- 66,633 -------------- Total Common Stock (Cost $2,065,693) ($ Thousands) 2,803,027 -------------- Number of Warrants ------------- WARRANTS -- 0.0% Lucent Technologies, Expires 12/10/07* 10,000 -- -------------- Total Warrants (Cost $--) ($ Thousands) -- -------------- CORPORATE OBLIGATION (C) (E) -- 0.2% FINANCIALS -- 0.2% SLM EXL, Ser S 5.763%, 10/15/07 $ 6,280 6,280 -------------- Total Corporate Obligation (Cost $6,280) ($ Thousands) 6,280 -------------- ASSET-BACKED SECURITY (C) (E) (F) -- 0.2% MORTGAGE RELATED SECURITY -- 0.2% Duke Funding, Ser 2004-6B, Cl A1S1 5.430%, 10/09/07 4,282 4,282 -------------- Total Asset-Backed Security (Cost $4,282) ($ Thousands) 4,282 -------------- CASH EQUIVALENTS** -- 15.7% Merrill Lynch EBP Master, 4.035% 4,160,417 4,160 SEI Daily Income Trust, Prime Obligation Fund, Cl A, 5.350% ++ 88,553,335 88,553 SEI Liquidity Fund LP, 5.367% ++ (C) 363,520,279 363,520 -------------- Total Cash Equivalents (Cost $456,233) ($ Thousands) 456,233 -------------- - -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) - -------------------------------------------------------------------------------- U.S. TREASURY OBLIGATIONS (A) (D) -- 0.1% U.S. Treasury Bills 3.965%, 11/23/07 $ 3,140 $ 3,124 3.439%, 12/20/07 100 99 -------------- Total U.S. Treasury Obligations (Cost $3,221) ($ Thousands) 3,223 -------------- Total Investments -- 113.0% (Cost $2,535,709) ($ Thousands) $ 3,273,045 ============== A summary of the open futures contracts held by the Fund at September 30, 2007, is as follows (see Note 2 in Notes to Financial Statements): - -------------------------------------------------------------------------------- NUMBER OF UNREALIZED TYPE OF CONTRACTS EXPIRATION APPRECIATION CONTRACT LONG (SHORT) DATE ($ THOUSANDS) - -------------------------------------------------------------------------------- S&P 500 Composite Index 172 Dec-2007 $ 2,331 S&P 400 Index E-MINI 108 Dec-2007 283 ---------- $ 2,614 ========== Percentages are based on Net Assets of $2,897,577 ($ Thousands). * Non-Income Producing Security. ** Rate shown is the 7-day effective yield as of September 30, 2007. + Real Estate Investment Trust. ++ Investment in Affiliated Security (see Note 3). (A) Security, or portion thereof, has been pledged as collateral on open futures contracts. (B) This security or a partial position of this security is on loan at September 30, 2007 (see Note 7). The total market value of securities on loan at September 30, 2007 was $363,051 ($ Thousands). (C) This security was purchased with cash collateral held from securities on loan (see Note 7). The total market value of such securities as of September 30, 2007 was $374,082 ($ Thousands). (D) The rate reported is the effective yield at time of purchase. (E) Variable Rate Security -- The rate reported on the Schedule of Investments is the rate in effect as of September 30, 2007. (F) Securities sold within terms of a private placement memorandum, exempt from registration under Section 144A of the Securities Act of 1933, as amended, and may be sold only to dealers in that program or other "accredited investors." These securities have been determined to be liquid under guidelines established by the Board of Trustees. ADR -- American Depositary Receipt Cl -- Class EXL -- Extendable Maturity LLC -- Limited Liability Company LP -- Limited Partnership Ser -- Series Amounts designated as "--" are $0 or have been rounded to $0. The accompanying notes are an integral part of the financial statements. - -------------------------------------------------------------------------------- 52 SEI Institutional Managed Trust / Annual Report / September 30, 2007 Large Cap Diversified Alpha Fund September 30, 2007 - -------------------------------------------------------------------------------- SECTOR WEIGHTINGS# (UNAUDITED): [THE FOLLOWING TABLE WAS REPRESENTED BY A BAR CHART IN THE PRINTED MATERIAL.] 13.9% Information Technology 12.9% Financials 10.7% Consumer Discretionary 9.9% Health Care 9.5% Short-Term Investment 8.8% Industrials 7.8% Asset-Backed Securities 7.3% Energy 6.0% Consumer Staples 4.4% U.S. Government Agency Mortgage-Backed Obligations 3.1% Materials 2.8% Telecommunication Services 2.5% Utilities 0.4% U.S. Treasury Obligations 0.0% Purchased Options #Percentages based on total investments - -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) - -------------------------------------------------------------------------------- COMMON STOCK -- 92.7% CONSUMER DISCRETIONARY -- 12.8% Abercrombie & Fitch, Cl A (D) 22,400 $ 1,808 Aeropostale (D)* 5,150 98 Amazon.com* 15,000 1,397 American Eagle Outfitters (D) 73,700 1,939 AnnTaylor Stores (D)* 49,197 1,558 Asbury Automotive Group 20,100 398 Autozone* 6,283 730 Barnes & Noble (D) 30,000 1,058 Best Buy (D) 128,595 5,918 Big Lots (D)* 98,951 2,953 BorgWarner 700 64 Brinker International (D) 110,094 3,021 Cablevision Systems, Cl A (D)* 103,488 3,616 Career Education* 13,000 364 Carmax* 11,800 240 Carnival 1,800 87 CBS, Cl B (D) 39,883 1,256 Central European Media Entertainment, Cl A* 2,700 248 Cheesecake Factory (D)* 52,300 1,227 Chico's FAS (D)* 46,500 653 Choice Hotels International 9,156 345 Clear Channel Communications 17,403 652 Coach (D)* 79,595 3,762 Comcast, Cl A (D)* 121,466 2,937 CROCS* 10,600 713 Darden Restaurants (D) 36,318 1,520 Dick's Sporting Goods* 1,800 121 DIRECTV Group (D)* 368,213 8,940 Discovery Holding, Cl A* 32,700 943 Dollar Tree Stores (D)* 54,300 2,201 Dow Jones 3,800 227 DreamWorks Animation SKG, Cl A* 1,900 64 - -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) - -------------------------------------------------------------------------------- Eastman Kodak (D) 34,263 $ 917 EchoStar Communications, Cl A (D)* 183,722 8,600 Expedia* 29,100 928 Family Dollar Stores 10,300 274 Ford Motor (D) 478,882 4,066 GameStop, Cl A* 10,200 575 Gannett 7,931 347 Garmin 9,100 1,087 General Motors (D) 78,592 2,884 Gentex (D) 87,100 1,867 Genuine Parts 6,263 313 Goodyear Tire & Rubber (D)* 60,611 1,843 Group 1 Automotive 3,000 101 Guess? 8,200 402 Gymboree (D)* 34,400 1,212 Hanesbrands (D)* 130,853 3,672 Harley-Davidson 21,533 995 Harman International Industries 4,400 381 Harrah's Entertainment 8,027 698 Hasbro (D) 75,900 2,116 Hilton Hotels 3,495 163 Home Depot 46,100 1,496 IAC/InterActive* 43,209 1,282 Idearc 73,655 2,318 International Game Technology 200,421 8,638 Interpublic Group (D)* 217,786 2,261 ITT Educational Services* 13,300 1,618 J Crew Group* 16,300 676 J.C. Penney (D) 24,283 1,539 Jack in the Box (D)* 12,700 823 Jarden* 6,000 186 John Wiley & Sons, Cl A 2,700 121 Johnson Controls (D) 24,693 2,917 Jos. A. Bank Clothiers* 14,100 471 Kohl's* 48,970 2,807 Lamar Advertising, Cl A (D) 33,235 1,628 Liberty Global, Cl A (D)* 86,004 3,528 Liberty Media Holding-Capital, Ser A* 13,000 1,623 Liberty Media Holding-Interactive, Cl A* 13,400 257 Macy's 3,424 111 Magna International, Cl A 16,900 1,628 Marriott International, Cl A 59,154 2,571 Mattel 60,700 1,424 McDonald's (D) 70,042 3,815 McGraw-Hill (D) 40,748 2,074 Meredith 4,900 281 MGM Mirage* 102,900 9,203 Mohawk Industries* 1,200 98 Morgans Hotel Group* 17,400 378 Newell Rubbermaid 13,602 392 News, Cl A 66,977 1,473 Nike, Cl B 10,624 623 - -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Annual Report / September 30, 2007 53 SCHEDULE OF INVESTMENTS Large Cap Diversified Alpha Fund (Continued) September 30, 2007 - -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) - -------------------------------------------------------------------------------- Nordstrom 6,600 $ 309 Nutri/System* 25,400 1,191 NVR* 3,100 1,458 Office Depot (D)* 16,757 346 OfficeMax 5,400 185 Omnicom Group 10,548 507 Orient-Express Hotels, Cl A 2,600 133 Papa John's International* 4,700 115 Penn National Gaming* 4,400 260 Penske Auto Group (D) 72,473 1,467 PetSmart 1,300 41 Phillips-Van Heusen 23,200 1,218 Polo Ralph Lauren 9,800 762 R.H. Donnelley (D)* 12,000 672 RadioShack 24,200 500 Regal Entertainment Group, Cl A 3,300 72 Rent-A-Center* 4,900 89 Reuters Group ADR* 61,000 4,835 Ross Stores 7,000 179 Royal Caribbean Cruises 2,300 90 Saks 21,900 376 Sears Holdings* 809 103 Service International 42,900 553 Shaw Communications, Cl B (D)* 87,200 2,166 Sherwin-Williams (D) 34,780 2,285 Snap-On 13,151 652 Staples 320,000 6,877 Station Casinos 6,500 569 Steven Madden 15,100 286 Target 6,145 391 Tiffany 8,600 450 Tim Hortons 7,087 247 Time Warner (D) 331,467 6,086 Time Warner Cable, Cl A* 2,800 92 TravelCenters of America LLC* 1 -- Tribune 800 22 TRW Automotive Holdings (D)* 64,246 2,035 Tween Brands* 11,000 361 Urban Outfitters* 13,600 296 VF 19,444 1,570 Viacom, Cl B (D)* 42,400 1,652 WABCO Holdings* 1,400 65 Walt Disney (D) 252,179 8,672 Warnaco Group* 6,600 258 Warner Music Group 10,940 111 Washington Post, Cl B 180 145 Weight Watchers International 121,300 6,982 Whirlpool (D) 27,580 2,457 Williams-Sonoma 40,100 1,308 Wyndham Worldwide (D) 63,077 2,066 Wynn Resorts 12,200 1,922 Yum! Brands (D) 116,510 3,942 -------------- 212,185 -------------- - -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) - -------------------------------------------------------------------------------- CONSUMER STAPLES -- 7.1% Alberto-Culver 12,800 $ 317 Altria Group (D) 120,503 8,379 Anheuser-Busch (D) 49,324 2,466 Archer-Daniels-Midland (D) 105,136 3,478 Avon Products 16,300 612 BJ's Wholesale Club* 14,580 484 Bunge 2,900 312 Campbell Soup 3,771 140 Church & Dwight 10,400 489 Coca-Cola (D) 57,605 3,311 Colgate-Palmolive 21,912 1,563 ConAgra Foods 19,000 497 Corn Products International 14,900 683 CVS 6,888 273 Dean Foods 46,721 1,195 Energizer Holdings* 7,700 854 Estee Lauder, Cl A 8,100 344 General Mills (D) 57,400 3,330 Hansen Natural (D)* 26,700 1,513 Herbalife 57,000 2,591 HJ Heinz 12,874 595 Hormel Foods 10,800 386 JM Smucker 9,200 491 Kellogg 10,175 570 Kimberly-Clark (D) 41,135 2,890 Kraft Foods, Cl A 6,739 233 Kroger (D) 292,394 8,339 Loews - Carolina 13,250 1,090 McCormick 2,653 95 Molson Coors Brewing, Cl B 14,900 1,485 NBTY (D)* 56,500 2,294 Pepsi Bottling Group (D) 58,871 2,188 PepsiCo (D) 95,747 7,014 Procter & Gamble (D) 222,049 15,619 Reynolds American (D) 33,634 2,139 Rite Aid* 228,877 1,057 Safeway (D) 118,706 3,930 Smithfield Foods* 53,717 1,692 Supervalu (D) 68,963 2,690 Sysco 28,448 1,012 Tyson Foods, Cl A (D) 271,172 4,840 UST 13,900 689 Wal-Mart Stores (D) 280,919 12,262 Walgreen 230,800 10,903 WM Wrigley Jr. 10,400 668 -------------- 118,002 -------------- ENERGY -- 8.7% Anadarko Petroleum 11,000 591 Apache 522 47 Baker Hughes 530 48 Cabot Oil & Gas 13,600 478 - -------------------------------------------------------------------------------- 54 SEI Institutional Managed Trust / Annual Report /September 30, 2007 - -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) - -------------------------------------------------------------------------------- Cameron International (D)* 28,888 $ 2,666 Cheniere Energy* 1,900 74 Chesapeake Energy (D) 93,900 3,311 Chevron (D) 246,959 23,110 Cimarex Energy (D) 28,900 1,077 ConocoPhillips (D) 115,386 10,127 Devon Energy 6,079 506 Dresser-Rand Group (D)* 46,200 1,973 EnCana (D) 21,900 1,355 Exxon Mobil (D) 492,641 45,599 FMC Technologies (D)* 40,656 2,344 Forest Oil* 1,200 52 Frontier Oil 39,800 1,657 Frontline (D)* 18,200 879 Global Industries* 8,500 219 GlobalSantaFe 5,518 419 Grant Prideco* 1,100 60 Halliburton (D) 95,789 3,678 Helmerich & Payne 57,400 1,884 Hess 48,566 3,231 Holly (D) 32,700 1,956 Hornbeck Offshore Services (D)* 36,800 1,351 Marathon Oil (D) 145,340 8,287 Murphy Oil 3,300 231 National Oilwell Varco* 6,100 881 Noble (D) 36,700 1,800 Noble Energy 3,000 210 Occidental Petroleum (D) 46,600 2,986 Oceaneering International* 900 68 Patterson-UTI Energy (D) 75,000 1,693 Petro-Canada (D) 40,000 2,296 Pride International (D)* 46,502 1,700 Quicksilver Resources* 1,000 47 Range Resources 3,000 122 Schlumberger 26,100 2,741 Smith International 1,300 93 Southwestern Energy* 3,000 126 Sunoco (D) 48,700 3,447 Superior Energy Services* 2,400 85 Teekay Shipping 3,400 200 Tesoro 22,700 1,045 Tidewater 800 50 Transocean (D)* 16,000 1,809 Valero Energy (D) 69,800 4,689 W&T Offshore 1,853 45 Weatherford International* 2,400 161 Western Refining 900 37 Williams 4,000 136 XTO Energy 5,833 361 -------------- 144,038 -------------- - -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) - -------------------------------------------------------------------------------- FINANCIALS -- 15.0% A.G. Edwards 17,592 $ 1,473 ACE 42,690 2,586 Aflac 7,716 440 Alleghany* 708 287 Allied Capital 292 9 Allied World Assurance Holdings 1,200 62 Allstate (D) 75,532 4,320 AMBAC Financial Group (D) 21,800 1,371 American Capital Strategies 10,106 432 American Express 11,715 696 American Financial Group (D) 96,695 2,758 American Financial Realty Trust+ 22,600 182 American International Group (D) 101,739 6,883 American National Insurance 1,733 228 AmeriCredit* 15,286 269 Ameriprise Financial 6,888 435 Annaly Capital Management+ 36,600 583 AON (D) 63,004 2,823 Apartment Investment & Management, Cl A+ 1,241 56 Arch Capital Group* 1,700 126 Archstone-Smith Trust+ 730 44 Arthur J. Gallagher 5,440 158 Ashford Hospitality Trust+ 92,000 925 Assurant (D) 35,707 1,910 AvalonBay Communities+ (D) 12,218 1,442 Axis Capital Holdings 16,200 630 Bank of America (D) 265,242 13,334 Bank of New York Mellon 33,272 1,469 Bankunited Financial, Cl A 5,800 90 BB&T 16,339 660 BOK Financial 1,693 87 Boston Properties+ 2,384 248 Brandywine Realty Trust+ (D) 56,500 1,430 Capital One Financial (D) 43,601 2,896 Capitol Federal Financial 1,321 45 CB Richard Ellis Group, Cl A* 4,200 117 Charles Schwab 139,994 3,024 Chubb (D) 75,818 4,067 CIT Group (D) 27,864 1,120 Citigroup (D) 297,056 13,864 CME Group 15,674 9,206 Colonial BancGroup 7,500 162 Colonial Properties Trust+ 1,000 34 Comerica (D) 42,645 2,187 Credicorp (D) 21,700 1,469 Crystal River Capital+ 4,100 69 Discover Financial Services (D)* 81,693 1,699 Duke Realty+ 1,400 47 Eaton Vance (D) 52,700 2,106 - -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Annual Report / September 30, 2007 55 SCHEDULE OF INVESTMENTS Large Cap Diversified Alpha Fund (Continued) September 30, 2007 - -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) - -------------------------------------------------------------------------------- Everest Re Group 8,300 $ 915 Fannie Mae 5,447 331 Fidelity National Financial, Cl A 11,420 200 First American 8,500 311 First Citizens BancShares, Cl A 1,771 309 First Marblehead 2,900 110 Forest City Enterprises, Cl A 10,630 586 Franklin Resources (D) 60,595 7,726 Freddie Mac 6,587 389 General Growth Properties+ (D) 36,300 1,946 Genworth Financial, Cl A 9,700 298 Goldman Sachs Group (D) 38,124 8,263 Hanover Insurance Group (D) 24,200 1,069 Hartford Financial Services Group 25,969 2,403 HCP+ 9,800 325 Health Care+ 1,700 75 Hospitality Properties Trust+ 9,687 394 Host Hotels & Resorts+ 24,848 558 Hudson City Bancorp 85,200 1,310 Huntington Bancshares 51,200 869 IntercontinentalExchange* 75,400 11,453 iStar Financial+ (D) 52,100 1,771 Janus Capital Group (D) 101,410 2,868 Jones Lang LaSalle (D) 34,691 3,565 JPMorgan Chase (D) 441,773 20,242 Keycorp (D) 78,501 2,538 Lehman Brothers Holdings (D) 32,118 1,983 Leucadia National 1,200 58 Lincoln National 12,974 856 Loews (D) 199,705 9,656 Macerich+ 500 44 Markel* 1,294 626 Marsh & McLennan 100,765 2,570 MBIA (D) 28,400 1,734 Merrill Lynch (D) 99,755 7,111 Metlife (D) 45,948 3,204 Montpelier Re Holdings 24,300 430 Moody's (D) 26,318 1,326 Morgan Stanley (D) 83,374 5,253 National City 17,702 444 National Financial Partners 7,100 376 Nationwide Financial Services, Cl A 5,300 285 Newcastle Investment+ 51,600 909 NewStar Financial* 5,600 63 Northern Trust 11,843 785 NorthStar Realty Finance+ (D) 128,800 1,279 NYSE Euronext 2,800 222 People's United Financial 7,168 124 Philadelphia Consolidated Holding* 2,100 87 PMI Group (D) 54,200 1,772 PNC Financial Services Group (D) 43,075 2,933 Popular 97,800 1,201 - -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) - -------------------------------------------------------------------------------- Prudential Financial 6,400 $ 625 Public Storage+ 16,660 1,310 Raymond James Financial 3,796 125 Rayonier+ (D) 48,341 2,322 Regions Financial 25,397 749 Safeco 38,289 2,344 Simon Property Group+ 929 93 SL Green Realty+ 4,157 485 SLM 2,570 128 Sovereign Bancorp 2,800 48 State Street 330 22 SunTrust Banks (D) 34,021 2,574 Synovus Financial 959 27 T. Rowe Price Group 254 14 Taubman Centers+ 1,900 104 TD Ameritrade Holding* 82,800 1,509 Torchmark 3,671 229 Transatlantic Holdings 17,049 1,199 Travelers (D) 223,969 11,275 UnionBanCal 31,800 1,857 UnumProvident 14,200 347 US Bancorp 38,810 1,262 Wachovia (D) 83,496 4,187 Washington Mutual (D) 67,900 2,398 Wells Fargo (D) 120,912 4,307 White Mountains Insurance Group 100 52 XL Capital, Cl A 13,500 1,069 Zions Bancorporation 115 8 -------------- 247,382 -------------- HEALTH CARE -- 11.8% Abbott Laboratories (D) 53,775 2,883 Aetna (D) 70,110 3,805 Allergan 150,494 9,702 AmerisourceBergen (D) 135,870 6,159 Amgen* 5,752 325 Analogic 14,400 918 Bausch & Lomb 5,000 320 Baxter International 53,010 2,983 Becton Dickinson (D) 30,348 2,490 Biogen Idec (D)* 16,300 1,081 Biovail (D) 58,800 1,021 Bristol-Myers Squibb 45,764 1,319 C.R. Bard 1,300 115 Cardinal Health (D) 123,435 7,718 Celgene* 36,574 2,608 Cephalon* 397 29 Cerner* 14,800 885 Charles River Laboratories International (D)* 22,600 1,269 Cigna (D) 105,509 5,623 Covance* 11,900 927 - -------------------------------------------------------------------------------- 56 SEI Institutional Managed Trust / Annual Report / September 30, 2007 - -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) - -------------------------------------------------------------------------------- Coventry Health Care* 5,377 $ 335 Covidien (D)* 90,965 3,775 Cubist Pharmaceuticals* 24,300 514 Cutera* 7,300 191 Cytyc* 15,200 724 Dade Behring Holdings 6,200 473 Edwards Lifesciences* 700 35 Eli Lilly (D) 29,189 1,662 Endo Pharmaceuticals Holdings* 26,600 825 Express Scripts (D)* 69,100 3,857 Forest Laboratories (D)* 31,422 1,172 Genentech (D)* 197,625 15,419 Genzyme (D)* 34,284 2,124 Gilead Sciences (D)* 80,200 3,278 Health Net (D)* 120,264 6,500 Henry Schein* 4,443 270 Hillenbrand Industries 23,822 1,311 HLTH* 31,349 444 Hologic* 13,200 805 Hospira* 6,997 290 Humana (D)* 54,480 3,807 Idexx Laboratories* 400 44 Intuitive Surgical* 5,200 1,196 Invitrogen (D)* 44,700 3,653 Johnson & Johnson (D) 154,975 10,182 Kinetic Concepts* 8,400 473 King Pharmaceuticals* 109,998 1,289 Laboratory of America Holdings* 8,545 669 LifePoint Hospitals* 2,200 66 Manor Care 6,583 424 McKesson (D) 103,470 6,083 Medco Health Solutions (D)* 91,729 8,291 Medtronic (D) 66,792 3,768 Mentor 13,600 626 Merck (D) 92,536 4,783 Mylan Laboratories 14,500 231 OSI Pharmaceuticals* 20,300 690 PDL BioPharma* 64,500 1,394 PerkinElmer 9,500 278 Pfizer (D) 521,730 12,746 Providence Service* 1,700 50 Quidel* 56,400 1,103 Respironics* 800 39 Schering-Plough 51,296 1,623 Sierra Health Services* 7,974 337 St. Jude Medical* 3,700 163 Stryker* 15,004 1,032 Tenet Healthcare* 37,589 126 Thermo Fisher Scientific* 34,012 1,963 UnitedHealth Group (D) 278,517 13,489 VCA Antech* 9,400 393 Warner Chilcott, Cl A* 3,500 62 Waters (D)* 29,363 1,965 - -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) - -------------------------------------------------------------------------------- Watson Pharmaceuticals* 1,400 $ 45 WellCare Health Plans* 7,800 822 WellPoint (D)* 55,045 4,344 Wyeth 52,081 2,320 Zimmer Holdings* 113,300 9,176 -------------- 195,929 -------------- INDUSTRIALS -- 10.6% 3M (D) 21,145 1,979 Acuity Brands 9,400 474 Administaff 8,100 294 AGCO* 11,600 589 Allied Waste Industries* 2,877 37 American Standard 2,400 85 AMR (D)* 27,258 608 Armstrong World Industries* 10,233 415 Avery Dennison 430 25 Avis Budget Group* 8,035 184 BE Aerospace* 4,900 203 Boeing (D) 153,716 16,139 Brink's 700 39 Burlington Northern Santa Fe 1,828 148 C.H. Robinson Worldwide (D) 41,540 2,255 Caterpillar (D) 22,500 1,765 ChoicePoint (D)* 33,700 1,278 Con-way 5,311 244 Continental Airlines, Cl B* 9,572 316 Cooper Industries, Cl A 800 41 Corrections of America* 20,900 547 Crane 3,500 168 CSX 1,942 83 Cummins (D) 20,800 2,660 Danaher 845 70 Deere 5,000 742 Delta Air Lines* 170,429 3,059 Dover 17,400 887 Dun & Bradstreet (D) 19,574 1,930 Eaton (D) 29,600 2,932 Emerson Electric 4,418 235 Expeditors International Washington 150,000 7,095 FedEx (D) 16,727 1,752 Flowserve (D) 15,498 1,181 Fluor 15,980 2,301 Foster Wheeler* 4,500 591 Gardner Denver (D)* 33,600 1,310 General Cable* 15,314 1,028 General Dynamics 9,682 818 General Electric (D) 488,215 20,212 Goodrich (D) 31,500 2,149 Harsco (D) 28,900 1,713 Hertz Global Holdings* 14,018 318 Honeywell International (D) 103,169 6,135 Hubbell, Cl B 8,829 504 - -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Annual Report / September 30, 2007 57 SCHEDULE OF INVESTMENTS Large Cap Diversified Alpha Fund (Continued) September 30, 2007 - -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) - -------------------------------------------------------------------------------- Huron Consulting Group* 12,400 $ 900 Illinois Tool Works 2,300 137 Ingersoll-Rand, Cl A 12,600 686 ITT 14,518 986 Jacobs Engineering Group* 42,449 3,208 JB Hunt Transport Services 22,900 602 Kansas City Southern* 2,500 80 KBR* 7,153 277 L-3 Communications Holdings (D) 12,400 1,267 Labor Ready* 39,000 722 Laidlaw International 10,500 370 Landstar System 3,900 164 Lennox International 40,820 1,380 Lockheed Martin (D) 60,672 6,582 Manitowoc 9,400 416 Manpower 42,776 2,753 Masco 62,300 1,443 McDermott International* 2,600 141 MSC Industrial Direct, Cl A (D) 30,100 1,523 Norfolk Southern (D) 76,500 3,971 Northrop Grumman (D) 48,883 3,813 Northwest Airlines* 38,663 688 Owens Corning* 13,498 338 Paccar 6,992 596 Pall 12,300 478 Parker Hannifin (D) 37,026 4,141 Pitney Bowes 274 12 Precision Castparts (D) 21,380 3,164 Quanta Services* 18,797 497 Raytheon (D) 96,091 6,133 Republic Services 28,000 916 Robert Half International 57,300 1,711 Rockwell Automation (D) 31,600 2,197 Rockwell Collins 1,154 84 Roper Industries 238 16 RR Donnelley & Sons (D) 72,739 2,659 Ryder System (D) 66,156 3,242 Shaw Group* 21,374 1,242 Spirit Aerosystems Holdings, Cl A* 917 36 SPX (D) 11,883 1,100 Steelcase, Cl A 5,098 92 Stericycle (D)* 41,370 2,365 Sunpower, Cl A* 800 66 Teleflex 2,400 187 Terex* 8,600 766 Thomas & Betts (D)* 26,400 1,548 Timken (D) 43,100 1,601 Trinity Industries 33,400 1,254 Tyco International (D) 76,226 3,380 UAL* 2,100 98 Union Pacific 11,639 1,316 United Parcel Service, Cl B 105,659 7,935 United Rentals* 17,400 560 - -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) - -------------------------------------------------------------------------------- United Technologies 5,204 $ 419 URS* 17,756 1,002 Waste Management (D) 31,900 1,204 WESCO International* 26,763 1,149 WW Grainger (D) 16,600 1,514 -------------- 174,665 -------------- INFORMATION TECHNOLOGY -- 16.6% Accenture, Cl A 18,100 729 Activision* 19,600 423 ADC Telecommunications* 3,200 63 Adobe Systems* 4,700 205 Agilent Technologies (D)* 53,545 1,975 Akamai Technologies* 5,556 160 Alliance Data Systems* 5,700 441 Amdocs* 21,045 783 Analog Devices 3,500 127 Apple* 13,848 2,126 Applied Materials (D) 105,395 2,182 Arrow Electronics (D)* 138,682 5,897 Atmel* 67,028 346 Autodesk* 2,300 115 Automatic Data Processing 33,501 1,539 Avaya* 14,674 249 Avnet (D)* 84,189 3,356 BMC Software* 55,895 1,746 Cadence Design Systems (D)* 79,152 1,756 CDW 1,477 129 Ceridian* 21,500 747 Check Point Software Technologies (D)* 74,900 1,886 Cisco Systems (D)* 247,530 8,196 Cognizant Technology Solutions, Cl A* 2,500 199 CommScope* 5,900 296 Computer Sciences (D)* 49,476 2,766 Compuware (D)* 199,800 1,602 Convergys* 52,182 906 Corning 32,281 796 Cypress Semiconductor* 2,400 70 Dell* 14,107 389 Diebold 1,800 82 DST Systems* 4,021 345 eBay (D)* 314,900 12,287 Electronic Data Systems (D) 160,637 3,508 EMC (D)* 159,100 3,309 Emulex* 6,600 126 Exar* 45,000 588 F5 Networks* 5,800 216 Factset Research Systems 12,300 843 Fair Isaac (D) 19,700 711 Fairchild Semiconductor International* 61,648 1,152 - -------------------------------------------------------------------------------- 58 SEI Institutional Managed Trust / Annual Report / September 30, 2007 - -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) - -------------------------------------------------------------------------------- Fidelity National Information Services 12,646 $ 561 Fiserv (D)* 52,105 2,650 Google, Cl A (D)* 30,920 17,540 Harris (D) 22,223 1,284 Hewitt Associates, Cl A* 7,000 245 Hewlett-Packard (D) 356,009 17,726 Ingram Micro, Cl A (D)* 242,812 4,762 Integrated Device Technology* 61,400 950 Intel (D) 129,433 3,347 InterDigital* 2,200 46 International Business Machines (D) 88,028 10,370 Intersil, Cl A (D) 52,300 1,748 Intuit (D)* 323,900 9,814 Jabil Circuit 56,311 1,286 Juniper Networks* 123,400 4,518 Kla-Tencor (D) 30,700 1,712 Lam Research (D)* 74,756 3,981 Lexmark International, Cl A* 2,600 108 LSI Logic* 23,125 172 Mastercard, Cl A 12,200 1,805 McAfee* 19,600 683 MEMC Electronic Materials* 9,574 564 Mettler Toledo International (D)* 26,862 2,740 Microsoft (D) 626,496 18,457 NAVTEQ* 2,300 179 NCR (D)* 57,539 2,865 Netlogic Microsystems* 6,100 220 Network Appliance* 59,000 1,588 Novellus Systems* 4,703 128 Nvidia* 25,300 917 Oracle (D)* 217,908 4,718 Paychex 180,000 7,380 PMC - Sierra* 132,100 1,108 Progress Software* 5,600 170 QLogic* 69,500 935 Qualcomm (D) 341,400 14,428 Rambus* 6,100 117 Red Hat* 3,400 68 Research In Motion (D)* 148,500 14,635 Riverbed Technology* 21,000 848 Salesforce.com* 1,300 67 SanDisk* 111,800 6,160 Seagate Technology 350,800 8,973 Silicon Laboratories (D)* 44,100 1,842 Solectron* 59,180 231 SPSS* 12,500 514 SYKES Enterprises* 21,300 354 Symantec (D)* 213,856 4,145 Synopsys* 16,128 437 Tech Data (D)* 86,268 3,461 Tektronix (D) 37,700 1,046 Texas Instruments (D) 146,171 5,348 Total System Services 11,700 325 - -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) - -------------------------------------------------------------------------------- Tyco Electronics* 93,363 $ 3,308 Unisys* 103,099 682 Varian Semiconductor Equipment Associates* 31,000 1,659 VeriFone Holdings* 2,300 102 VeriSign* 24,640 831 Vishay Intertechnology* 62,427 813 WebMD Health, Cl A* 10,548 550 Western Union 312,404 6,551 Xerox (D)* 145,608 2,525 Xilinx 6,900 180 Zebra Technologies, Cl A (D)* 29,500 1,076 Zoran* 27,000 545 -------------- 274,465 -------------- MATERIALS -- 3.8% AK Steel Holding* 14,900 655 Albemarle 9,900 438 Alcan (D) 12,400 1,241 Alcoa 15,900 622 Allegheny Technologies 7,300 803 Ashland 13,500 813 Ball (D) 33,900 1,822 Cabot 6,100 217 Celanese, Ser A 20,300 791 Cleveland-Cliffs 4,900 431 Commercial Metals 21,327 675 Crown Holdings (D)* 143,517 3,266 Domtar* 29,100 239 Dow Chemical (D) 57,280 2,466 E.I. Du Pont de Nemours 8,400 416 Eastman Chemical 15,138 1,010 Ecolab 18,998 897 Florida Rock Industries 7,200 450 FMC 40,244 2,094 Freeport-McMoRan Copper & Gold, Cl B 11,350 1,191 International Flavors & Fragrances 11,200 592 International Paper (D) 61,847 2,218 Lubrizol 5,000 325 Lyondell Chemical 10,600 491 Martin Marietta Materials 5,400 721 Methanex (D) 41,100 1,044 Monsanto (D) 32,912 2,822 Mosaic* 50,700 2,713 Nalco Holding 15,100 448 Newmont Mining 9,390 420 Nova Chemicals (D) 40,700 1,571 Nucor (D) 38,270 2,276 Owens-Illinois* 26,707 1,107 Pactiv (D)* 91,381 2,619 PPG Industries 16,207 1,224 Praxair 106,615 8,930 - -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Annual Report / September 30, 2007 59 SCHEDULE OF INVESTMENTS Large Cap Diversified Alpha Fund (Continued) September 30, 2007 - -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) - -------------------------------------------------------------------------------- Reliance Steel & Aluminum 5,400 $ 305 Rohm & Haas 22,916 1,276 Sealed Air 2,818 72 Smurfit-Stone Container (D)* 77,133 901 Sonoco Products 8,677 262 Southern Copper (D) 26,000 3,220 Steel Dynamics (D) 25,800 1,205 Temple-Inland 12,600 663 United States Steel (D) 26,900 2,850 Valspar 22,100 601 Vulcan Materials 7,993 713 Weyerhaeuser 6,100 441 -------------- 62,567 -------------- TELECOMMUNICATION SERVICES -- 3.4% Alltel 5,472 381 American Tower, Cl A* 12,659 551 AT&T (D) 430,910 18,232 Bell Aliant Regional Communications Income Fund (Canada) (H) 2,066 67 CenturyTel (D) 43,894 2,029 Citizens Communications 32,111 460 Crown Castle International* 145,000 5,891 Embarq 15,413 857 Leap Wireless International* 6,500 529 Qwest Communications International* 107,828 988 Rogers Communications, Cl B (D) 30,200 1,375 Sprint Nextel (D) 392,404 7,456 Telephone & Data Systems 12,900 861 US Cellular* 48,762 4,788 Verizon Communications (D) 196,906 8,719 Windstream (D) 165,052 2,330 -------------- 55,514 -------------- UTILITIES -- 2.9% AES* 33,116 664 AGL Resources 6,000 238 Allegheny Energy* 3,421 179 Alliant Energy 28,338 1,086 American Electric Power 26,900 1,240 Atmos Energy 23,500 665 Centerpoint Energy 46,200 741 CMS Energy 89,871 1,512 Consolidated Edison (D) 38,600 1,787 Constellation Energy Group (D) 26,300 2,256 Dominion Resources 4,797 404 DTE Energy 4,600 223 Duke Energy 30,378 568 Dynegy, Cl A* 131,200 1,212 Edison International (D) 53,135 2,946 Energen (D) 40,800 2,330 Entergy 11,300 1,224 Equitable Resources 18,000 934 - -------------------------------------------------------------------------------- Shares/Contracts/Face Amount Market Value Description ($ Thousands) ($ Thousands) - -------------------------------------------------------------------------------- Exelon 4,374 $ 330 FirstEnergy (D) 47,265 2,994 FPL Group 33,100 2,015 Great Plains Energy 800 23 MDU Resources Group 3,170 88 Mirant* 31,200 1,269 National Fuel Gas 8,700 407 NiSource 20,000 383 Northeast Utilities 51,400 1,468 NRG Energy (D)* 59,000 2,495 NSTAR 3,100 108 Oneok 17,900 848 Pepco Holdings 6,500 176 PG&E (D) 81,340 3,888 Pinnacle West Capital 6,800 269 PPL 16,762 776 Progress Energy (D) 19,600 918 Public Service Enterprise Group (D) 56,612 4,981 Puget Energy 10,324 253 Questar 2,100 110 Reliant Energy* 60,287 1,543 Sempra Energy 13,492 784 Southern 9,927 360 TXU 8,304 569 UGI 22,400 582 Wisconsin Energy 900 41 Xcel Energy 32,871 708 -------------- 48,595 -------------- Total Common Stock (Cost $1,380,115) ($ Thousands) 1,533,342 -------------- PURCHASED OPTIONS -- 0.0% June 2008 U.S. Ten Year Treasury Call, Expires 06/16/08, Strike Price: $95.00* 43 76 -------------- Total Purchased Options (Cost $18) ($ Thousands) 76 -------------- ASSET-BACKED SECURITIES -- 9.4% MORTGAGE RELATED SECURITIES -- 9.4% ABSC NIM Trust, Ser 2005-HE6, Cl A1 (E) 5.050%, 08/27/35 $ 31 31 Aames Mortgage Investment Trust, Ser 2005-4, Cl B2 (C) 7.881%, 10/12/07 170 108 Ace Securities, Ser 2003-OP1, Cl M1 (C) 6.020%, 10/26/07 500 488 - -------------------------------------------------------------------------------- 60 SEI Institutional Managed Trust / Annual Report / September 30, 2007 - -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) - -------------------------------------------------------------------------------- Aegis Asset-Backed Securities Trust, Ser 2003-3, Cl M1 (C) 6.020%, 10/25/07 $ 54 $ 48 American Home Mortgage Assets, Ser 2006-3, Cl M5 (C) 5.940%, 10/25/07 250 183 American Home Mortgage Investment Trust, Ser 2005-1, Cl 6A (C) 5.294%, 10/25/07 4,191 4,150 American Home Mortgage Investment Trust, Ser 2005-4, Cl 5A (C) 5.350%, 10/25/07 2,117 2,093 American Home Mortgage Investment Trust, Ser 2006-1, Cl 2A3 (C) 5.100%, 10/25/07 1,244 1,228 Ameriquest Mortgage Securities, Ser 2003-2, Cl M1 (C) 6.670%, 10/25/07 427 394 Argent Securities, Ser 2003-W5, Cl M1 (C) 6.020%, 10/25/07 250 242 Argent Securities, Ser 2003-W9, Cl M1 (C) 6.010%, 10/26/07 343 334 Asset-Backed Funding Certificates, Ser 2005-AQ1, Cl A2 (G) 4.300%, 06/25/35 513 504 Asset-Backed Funding NIM Trust, Ser 2005-WMC1, Cl N1 (E) 5.900%, 07/26/35 32 1 Asset-Backed Securities Home Equity Loan Trust, Ser 2003-HE5, Cl M1 (C) 6.361%, 10/15/07 547 527 Banc of America Commercial Mortgage, Ser 2005-6, Cl AM (C) 5.182%, 09/10/47 1,619 1,573 Banc of America Commercial Mortgage, Ser 2006-3, Cl A4 (C) 5.889%, 07/10/44 1,854 1,900 Banc of America Commerical Mortgage, Ser 2007-3, Cl A4 (C) 5.838%, 06/10/49 5,050 5,076 Bank of America Commercial Mortgage, Ser 2005-5, Cl AM (C) 5.176%, 10/10/45 1,762 1,706 Bank of America Commercial Mortgage, Ser 2006-2, Cl A4 (C) 5.930%, 05/10/45 1,911 1,948 - -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) - -------------------------------------------------------------------------------- Bear Stearns Asset-Backed Securities, Ser 2005-HE11, Cl A1 (E) 5.500%, 11/25/35 $ 117 $ 103 Bear Stearns Asset-Backed Securities, Ser 2007-HE4, Cl 1A1 (C) 5.440%, 10/31/07 2,612 2,595 Carrington Mortgage Loan Trust, Ser 2007-FRE1, Cl A1 (C) 5.625%, 10/25/07 2,221 2,205 Chase Funding Mortgage Loan, Ser 2003-6, Cl 1A3 3.340%, 05/25/26 274 270 Countrywide Alternative Loan Trust, Ser 2004-33, Cl 1A1 (C) 4.989%, 10/01/07 504 503 Countrywide Alternative Loan Trust, Ser 2005-69, Cl M3 (C) 6.655%, 10/27/07 235 185 Countrywide Alternative Loan Trust, Ser 2005-IM1, Cl M3 (C) 7.505%, 10/27/07 375 197 Countrywide Alternative Loan Trust, Ser 2006-OA11, Cl M3 (C) 5.935%, 10/30/07 500 488 Countrywide Alternative Loan Trust, Ser 2006-OA16, Cl M5 (C) 6.055%, 10/25/07 225 140 Countrywide Asset-Backed Certificates, Ser 2003-5, Cl MV2 (C) 7.105%, 10/25/07 280 259 Countrywide Asset-Backed Certificates, Ser 2005-7, Cl MV8 (C) 6.955%, 10/27/07 250 185 Countrywide Asset-Backed Certificates, Ser 2006-S1, Cl A2 5.549%, 08/25/21 1,600 1,588 Countrywide Home Loans, Ser 2004-22, Cl A1 (C) 5.087%, 10/01/07 417 416 Countrywide Home Loans, Ser 2006-OA4, Cl M4 (C) 6.325%, 10/27/07 285 238 Countrywide Home Loans, Ser 2006-OA4, Cl M5 (C) 6.375%, 10/27/07 195 158 Countrywide Home Loans, Ser 2006-OA5, Cl 1M4 (C) 6.555%, 10/27/07 275 204 - -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Annual Report / September 30, 2007 61 SCHEDULE OF INVESTMENTS Large Cap Diversified Alpha Fund (Continued) September 30, 2007 - -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) - -------------------------------------------------------------------------------- Countrywide Home Loans, Ser 2007-HYB1, Cl 1A1 (C) 5.569%, 10/01/07 $ 1,783 $ 1,790 Credit Suisse Mortgage Capital Certificates, Ser 2006-C3, Cl A3 (C) 6.021%, 06/15/38 2,381 2,440 Credit-Based Asset Servicing, Ser 2007-CB3, Cl A1 (G) 5.766%, 03/25/37 4,161 4,137 Credit-Based Asset Servicing, Ser 2007-CB4, Cl A1A (C) 5.595%, 10/27/07 2,228 2,203 Credit-Based Asset Servicing, Ser 2007-CB4, Cl A2A (G) 5.844%, 04/25/37 2,427 2,414 DSLA Mortgage Loan Trust, Ser 2004-AR4, Cl B1 (C) 6.138%, 10/19/07 322 316 FBR Securitization Trust, Ser 2005-2, Cl M10 (C) 7.755%, 10/28/07 100 59 FBR Securitization Trust, Ser 2005-4, Cl M11 (C) 7.505%, 10/27/07 210 106 FBR Securitization Trust, Ser 2005-4, Cl M12 (C) 7.505%, 10/27/07 77 51 FBR Securitization Trust, Ser 2005-5, Cl M12 (C) 7.755%, 10/27/07 122 104 First Franklin Mortgage Loan, Ser 2003-FF5, Cl M6 (C) 10.381%, 10/25/07 27 2 First Franklin Mortgage Loan, Ser 2005-FFH4, Cl N1 (E) 5.682%, 12/25/35 20 15 First Franklin Mortgage Loan, Ser 2006-FF11, Cl M1 (C) 5.755%, 10/06/07 3,500 2,698 First Franklin Mortgage Loan, Ser 2006-FF14, Cl A2 (C) 5.565%, 10/25/07 2,675 2,634 First Horizon Alternative Mortgage Trust, Ser 2006-AA6, Cl 2A1 (C) 5.655%, 10/01/07 3,458 3,482 First Horizon Mortgage Pass- Through, Ser 2006-AR3, Cl 1A1 (C) 5.684%, 10/01/07 735 738 GE-WMC Mortgage Securities NIM Trust, Ser 2005-2A, Cl N1 (E) 5.500%, 01/25/36 129 120 - -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) - -------------------------------------------------------------------------------- GS Mortgage Securities, Ser 2006-GG6, Cl AM (C) 5.622%, 04/10/38 $ 3,800 $ 3,769 GSAMP Trust, Ser 2007-HE2, Cl A2A (C) 5.440%, 10/20/07 2,572 2,553 Greenwich Capital Commercial Funding, Ser 2006-GG7, Cl AM (C) 6.110%, 07/10/38 2,100 2,133 Home Equity Asset Trust NIM, Ser 2005-7N, Cl A (E) 6.500%, 02/27/36 275 41 Home Equity Asset Trust NIM, Ser 2005-9N, Cl A (E) 6.500%, 05/27/36 117 29 Home Equity Asset Trust NIM, Ser 2006-1N, Cl 1A (E) 6.500%, 05/27/36 68 17 Home Equity Asset Trust, Ser 2003-4, Cl M2 (C) 7.720%, 10/25/07 370 360 Home Equity Mortgage Trust, Ser 2006-5, Cl A1 (G) 5.500%, 01/25/37 2,514 2,302 Impac CMB Trust, Ser 2004-10, Cl 4M1 (C) 6.105%, 10/25/07 383 380 Impac Secured Assets CMO Owners Trust, Ser 2007-1, Cl A1 (C) 5.380%, 10/25/07 5,540 5,527 Impac Secured Assets CMO Owners Trust, Ser 2007-2, Cl 1A1A (C) 5.615%, 05/25/37 3,393 3,374 Indymac Index Mortgage Loan Trust, Ser 2006-AR12, Cl M2 (C) 6.055%, 10/25/07 235 196 Indymac Index Mortgage Loan Trust, Ser 2006-AR2, Cl M6 (C) 7.255%, 10/25/07 240 168 Indymac Index Mortgage Loan Trust, Ser 2006-AR4, Cl M4 (C) 6.205%, 10/25/07 165 128 Irwin Home Equity, Ser 2007-1, Cl 2A1 (C) (E) 5.655%, 10/17/07 4,753 4,684 JPMorgan Chase Commercial Mortgage, Ser 2006-LDP9, Cl A3 5.336%, 05/15/47 1,155 1,133 JPMorgan Chase Commercial Mortgage, Ser 2007-CB18, Cl A4 5.440%, 10/01/07 5,050 4,981 - -------------------------------------------------------------------------------- 62 SEI Institutional Managed Trust / Annual Report / September 30, 2007 - -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) - -------------------------------------------------------------------------------- JPMorgan Mortgage Acquisition, Ser 2006-RM1, Cl A2 (C) 5.585%, 10/27/07 $ 647 $ 642 JPMorgan Mortgage Acquisition, Ser 2006-WF1, Cl A1B (C) 5.605%, 10/31/07 593 591 Lehman XS Trust, Ser 2005-5N, Cl M3 (C) 6.505%, 10/25/07 600 528 Lehman XS Trust, Ser 2005-5N, Cl M4 (C) 7.070%, 10/31/07 725 509 Lehman XS Trust, Ser 2005-7N, Cl M51 (C) 6.755%, 10/31/07 150 132 Lehman XS Trust, Ser 2005-7N, Cl M7I (C) 7.255%, 10/27/07 325 236 Lehman XS Trust, Ser 2005-9N, Cl M4 (C) 6.905%, 10/30/07 225 197 Lehman XS Trust, Ser 2005-9N, Cl M6 (C) 7.255%, 10/30/07 415 291 Lehman XS Trust, Ser 2006-11, Cl M10 (C) 7.320%, 10/25/07 210 96 Lehman XS Trust, Ser 2006-12N, Cl M4 (C) 6.055%, 10/25/07 270 266 Lehman XS Trust, Ser 2006-12N, Cl M5 (C) 6.105%, 10/25/07 150 113 Lehman XS Trust, Ser 2006-2N, Cl M5 (C) 6.655%, 10/27/07 240 199 Long Beach Mortgage Loan Trust, Ser 2006-WL1, Cl 1A3 (C) 5.650%, 10/27/07 560 528 Merrill Lynch Mortgage Investors, Ser 2005-A4, Cl 1A (C) 5.136%, 10/01/07 576 584 Merrill Lynch Mortgage Investors, Ser 2005-FF6, Cl N1 (E) 4.500%, 05/25/36 44 40 Merrill Lynch Mortgage Investors, Ser 2006-1, Cl 1A (C) 5.303%, 10/01/07 1,769 1,771 Merrill Lynch Mortgage Investors, Ser 2006-MLN1, Cl A2A (C) 5.575%, 10/29/07 686 681 Merrill Lynch Mortgage Investors, Ser 2007-HE2, Cl A2A (C) 5.625%, 10/30/07 2,749 2,727 - -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) - -------------------------------------------------------------------------------- Merrill Lynch Mortgage Investors, Ser 2007-SL1, Cl A1 (C) 5.620%, 10/11/07 $ 2,404 $ 2,363 Merrill Lynch Mortgage Trust, Ser 2005-CKI1, Cl A6 (C) 5.417%, 11/12/37 2,316 2,293 Merrill Lynch/Countrywide Commercial Mortgage, Ser 2006-4, Cl A3 (C) 5.172%, 12/12/49 5,667 5,509 Morgan Stanley Capital I, Ser 2003-NC10, Cl M1 (C) 6.185%, 10/27/07 583 577 Morgan Stanley Dean Witter Capital I, Ser 2003-NC1, Cl M2 (C) 8.580%, 10/27/07 104 99 New Century Home Equity Loan Trust, Ser 2003-B, Cl M1 (C) 5.970%, 10/27/07 566 526 New Century Home Equity Loan Trust, Ser 2004-A, Cl AII3 (C) 4.450%, 10/01/07 145 145 New Century Home Equity Loan Trust, Ser 2005-A, Cl A2 (G) 4.461%, 10/25/07 678 672 Nomura Asset Acceptance, Ser 2007-1, Cl 1A1A (G) 5.995%, 10/09/07 2,360 2,363 Novastar Home Equity Loan, Ser 2007-1, Cl A2A1 (C) 5.420%, 10/31/07 3,702 3,660 Option One Mortgage Loan Trust, Ser 2003-5, Cl M1 (C) 5.970%, 10/23/07 250 239 Option One Mortgage Loan Trust, Ser 2006-1, Cl M10 (C) (E) 7.820%, 10/27/07 100 58 Option One Mortgage Loan Trust, Ser 2006-1, Cl M11 (C) (E) 7.820%, 10/27/07 190 81 Option One Mortgage Loan Trust, Ser 2007-HL1, Cl 2A1 (C) 5.625%, 10/26/07 2,913 2,893 Ownit Mortgage Loan Asset-Backed Securities Trust, Ser 2006-1, Cl AF1 (G) 5.424%, 12/25/36 1,688 1,670 Ownit Mortgage Loan NIM Trust, Ser 2005-5A, Cl N1 (E) 5.500%, 10/25/36 18 17 People's Financial Realty Mortgage Security, Ser 2006-1, Cl B1 (C) 8.005%, 10/03/07 160 152 - -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Annual Report / September 30, 2007 63 SCHEDULE OF INVESTMENTS Large Cap Diversified Alpha Fund (Continued) September 30, 2007 - -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) - -------------------------------------------------------------------------------- RAAC, Ser 2007-SP1, Cl A1 (C) 5.655%, 10/10/07 $ 3,126 $ 3,098 Residential Accredit Loans, Ser 2006-Q01, Cl 2A3 (C) 5.720%, 10/27/07 342 336 Residential Accredit Loans, Ser 2006-Q04, Cl N1 (E) 6.048%, 04/25/46 89 89 Residential Accredit Loans, Ser 2006-Q06, Cl M5 (C) 6.005%, 10/29/07 350 227 Residential Accredit Loans, Ser 2006-QO3, Cl M4 (C) 6.225%, 10/25/07 250 176 Residential Accredit Loans, Ser 2006-QO3, Cl M5 (C) 6.285%, 10/25/07 250 169 Residential Asset Mortgage Products, Ser 2003-RS10, Cl AI5 (C) 4.910%, 01/25/31 166 165 Residential Asset Mortgage Products, Ser 2006-RZ4, Cl M9 (C) 7.738%, 10/25/07 115 45 Residential Asset Securitization Trust, Ser 2004-IP2, Cl 3A1 (C) 5.250%, 10/25/07 1,450 1,447 Resmae Mortgage Loan Trust, Ser 2006-1, Cl A2A (C) (E) 5.420%, 10/25/07 1,885 1,873 Resmae Mortgage Loan Trust, Ser 2006-1, Cl A2B (C) (E) 5.655%, 10/25/07 1,000 983 SB Finance NIM Trust, Ser 2005-HE3, Cl N1 (E) 4.750%, 09/25/35 55 17 SB Finance NIM Trust, Ser 2006-KS4N, Cl N1 (E) 7.500%, 06/25/36 72 51 SLM Student Loan Trust, Ser 2006-C, Cl C (C) 5.750%, 12/28/07 1,000 931 Saco I Trust, Ser 2005-10, Cl 2A1 (C) 5.765%, 10/30/07 3,105 2,898 Sail NIM Notes, Ser 2005-11A, Cl A (E) 7.500%, 01/27/36 250 30 Sail NIM Notes, Ser 2006-BC1A, Cl A (E) 7.000%, 03/27/36 186 17 Sharps SP I LLC NIM Trust, Ser 2005-HE3N, Cl N (E) 5.000%, 05/25/35 101 5 - -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) - -------------------------------------------------------------------------------- Structured Adjustable Rate Mortgage Loan, Ser 2005-16XS, Cl M2 (C) 6.405%, 10/25/07 $ 505 $ 484 Structured Adjustable Rate Mortgage Loan, Ser 2007-9, Cl 2A1 0.000%, 11/25/15 2,000 2,004 Structured Asset Investment Loan, Ser 2003-BC4, Cl M2 (C) 8.320%, 10/25/07 241 224 Structured Asset Investment Loan, Ser 2005-4, Cl M11 (C) 8.005%, 10/25/07 250 196 Structured Asset Mortgage Investments, Ser 2006-AR1, Cl B4 (C) 6.455%, 10/27/07 191 170 Structured Asset Mortgage Investments, Ser 2006-AR1, Cl B5 (C) 6.555%, 10/27/07 121 104 Terwin Mortgage Trust, Ser 2006-2HGS, Cl A1 (C) (E) 4.500%, 03/25/37 2,131 2,029 Terwin Mortgage Trust, Ser 2006-2HGS, Cl B1 (C) (E) 6.285%, 10/25/07 300 20 Terwin Mortgage Trust, Ser 2006-4SL, Cl A1 (C) (E) 4.500%, 05/25/37 2,161 2,051 Terwin Mortgage Trust, Ser 2006-6, Cl A1 (C) 4.500%, 07/25/37 953 889 Terwin Mortgage Trust, Ser 2006-HF1, Cl A1A (C) (E) 4.500%, 02/25/37 352 350 Wachovia Student Loan Trust, Ser 2006-1, Cl B (C) (E) 5.595%, 12/29/07 3,200 3,087 Washington Mutual Mortgage Pass- Through Certificates, Ser 2007-HY2, Cl 1A1 (C) 5.776%, 04/25/37 1,127 1,143 Washington Mutual Mortgage Pass- Through Certificates, Ser 2007-HY4, Cl 1A1 (C) 5.560%, 10/01/07 4,585 4,570 Washington Mutual Mortgage Pass- Through Certificates, Ser 2007-HY6, Cl 1A1 (C) 5.707%, 06/25/37 3,767 3,752 Wells Fargo Home Equity Trust, Ser 2004-2, Cl M8A (C) (E) 8.505%, 10/28/07 300 231 -------------- Total Asset-Backed Securities (Cost $160,552) ($ Thousands) 154,661 -------------- - -------------------------------------------------------------------------------- 64 SEI Institutional Managed Trust / Annual Report / September 30, 2007 - -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) - -------------------------------------------------------------------------------- U.S. GOVERNMENT AGENCY MORTGAGE-BACKED OBLIGATIONS -- 5.2% FHLMC (F) 5.249%, 11/09/07 $ 9,500 $ 9,448 4.527%, 03/28/08 25 24 FHLMC CMO STRIPS, Ser 232, Cl IO, IO 5.000%, 08/01/35 6,427 1,692 FHLMC CMO STRIPS, Ser 233, Cl 12, IO 5.000%, 09/15/35 1,062 242 FHLMC TBA 6.000%, 10/01/19 2,000 2,024 FNMA (F) 5.345%, 11/02/07 1,125 1,121 5.027%, 02/29/08 1,100 1,080 4.716%, 03/12/08 1,600 1,568 FNMA ARM 5.507%, 05/01/36 929 933 FNMA CMO STRIPS, Ser 359, Cl 6, IO 5.000%, 11/01/35 394 101 FNMA CMO STRIPS, Ser 360, Cl 2, IO 5.000%, 08/01/35 18,033 4,748 FNMA TBA 6.500%, 10/01/37 to 11/15/37 6,000 6,106 6.000%, 10/20/21 6,000 6,079 5.500%, 10/15/22 36,000 35,910 5.000%, 10/01/22 12,300 12,054 GNMA ARM 6.000%, 02/20/35 294 296 5.500%, 08/20/34 to 06/20/36 1,194 1,199 5.000%, 06/20/34 to 01/20/36 1,102 1,104 4.750%, 03/20/34 428 427 -------------- Total U.S. Government Agency Mortgage-Backed Obligations (Cost $85,740) ($ Thousands) 86,156 -------------- CORPORATE OBLIGATIONS -- 0.4% CONSUMER DISCRETIONARY -- 0.0% Time Warner 6.875%, 05/01/12 375 393 -------------- ENERGY -- 0.0% Weatherford International (E) 5.950%, 06/15/12 205 209 -------------- - -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) - -------------------------------------------------------------------------------- FINANCIALS -- 0.3% CIT Group 5.000%, 02/13/14 $ 500 $ 451 Capmark Financial Group (E) 6.300%, 05/10/17 55 48 5.875%, 05/10/12 110 100 Discover Financial Services (E) 6.450%, 06/12/17 115 112 Genworth Financial 5.750%, 06/15/14 275 276 5.650%, 06/15/12 575 580 Goldman Sachs Group 5.500%, 11/15/14 65 64 HSBC Finance 6.375%, 10/15/11 375 387 Lehman Brothers Holdings MTN 5.750%, 05/17/13 125 124 5.500%, 04/04/16 250 236 Merrill Lynch 6.050%, 05/16/16 195 195 Morgan Stanley 4.750%, 04/01/14 375 352 Morgan Stanley MTN, Ser G (C) 5.660%, 10/04/07 380 368 Prudential Financial MTN 5.800%, 06/15/12 170 174 Residential Capital LLC 6.500%, 04/17/13 630 509 Shinsei Finance Cayman Ltd. (C) (E) 6.418%, 01/29/49 400 371 Simon Property Group LP 5.750%, 12/01/15 250 244 5.600%, 09/01/11 210 210 Washington Mutual Preferred Funding (C) (E) 6.534%, 03/29/49 400 366 iStar Financial, Ser 1 5.875%, 03/15/16 250 224 -------------- 5,391 -------------- INDUSTRIALS -- 0.0% US Steel 5.650%, 06/01/13 120 118 -------------- MATERIALS -- 0.0% Lafarge 6.150%, 07/15/11 230 235 -------------- TELECOMMUNICATION SERVICES -- 0.0% Vodafone Group PLC 5.350%, 02/27/12 80 80 -------------- - -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Annual Report / September 30, 2007 65 SCHEDULE OF INVESTMENTS Large Cap Diversified Alpha Fund (Continued) September 30, 2007 - -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands)/Share ($ Thousands) - -------------------------------------------------------------------------------- UTILITIES -- 0.1% Dominion Resources 4.750%, 12/15/10 $ 250 $ 246 Exelon Generation 6.950%, 06/15/11 375 393 -------------- 639 -------------- Total Corporate Obligations (Cost $7,273) ($ Thousands) 7,065 -------------- CASH EQUIVALENT**++ -- 11.3% SEI Daily Income Trust, Prime Obligation Fund, Cl A, 5.350% 187,540,285 187,540 -------------- Total Cash Equivalent (Cost $187,540) ($ Thousands) 187,540 -------------- U.S. TREASURY OBLIGATIONS -- 0.5% U.S. Treasury Bills (A) (B) 4.840%, 12/13/07 570 566 3.920%, 11/23/07 2,478 2,465 U.S. Treasury Bonds TIPS 2.375%, 04/15/11 5,207 5,240 -------------- Total U.S. Treasury Obligations (Cost $8,228) ($ Thousands) 8,271 -------------- Total Investments -- 119.5% (Cost $1,829,466) ($ Thousands) $ 1,977,111 ============== COMMON STOCK SOLD SHORT -- (14.4)% CONSUMER DISCRETIONARY -- (3.5)% Advance Auto Parts (33,100) (1,111) Apollo Group, Cl A* (25,728) (1,548) Barnes & Noble (20,100) (709) Carmax* (97,300) (1,978) Centex (44,900) (1,193) Central European Media Entertainment, Cl A* (15,058) (1,381) Corinthian Colleges* (64,700) (1,029) CROCS* (8,270) (556) Dillards, Cl A (37,000) (808) Discovery Holding, Cl A* (64,164) (1,851) DR Horton (122,131) (1,564) Dreamworks Animation SKG, Cl A* (27,887) (932) E.W. Scripps, Cl A (1,800) (76) Eastman Kodak (16,000) (428) Gamestop, Cl A* (13,900) (783) Gentex (204,426) (4,383) - -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) - -------------------------------------------------------------------------------- H&R Block (79,100) $ (1,675) Hearst-Argyle Television (1,060) (28) International Game Technology (80,229) (3,458) Interpublic Group* (149,300) (1,550) KB Home (75,842) (1,901) Las Vegas Sands* (31,800) (4,243) Lennar, Cl A (103,445) (2,343) Liberty Media Holding-Capital, Ser A* (20,810) (2,598) MDC Holdings (2,700) (111) MGM Mirage* (17,800) (1,592) O'Reilly Automotive* (37,800) (1,263) Orient Express Hotels, Cl A (6,500) (333) Pulte Homes (95,345) (1,298) Quiksilver* (96,900) (1,386) R.H. Donnelley (20,848) (1,168) Royal Caribbean Cruises (27,100) (1,058) Ryland Group (35,975) (771) Saks (34,400) (590) Sally Beauty Holdings* (93,600) (791) Scientific Games, Cl A* (41,300) (1,553) Target (6,300) (400) Tiffany (31,615) (1,655) Toll Brothers* (37,824) (756) Urban Outfitters* (11,379) (248) Warner Music Group (95,800) (967) Wynn Resorts (16,089) (2,534) XM Satellite Radio Holdings, Cl A* (66,700) (944) -------------- (57,544) -------------- CONSUMER STAPLES -- (0.1)% CVS Caremark (11,300) (448) Whole Foods Market (15,617) (765) -------------- (1,213) -------------- ENERGY -- (1.8)% Arch Coal (48,300) (1,630) Baker Hughes (11,500) (1,039) BJ Services (4,300) (114) Cameco (41,900) (1,937) CNX Gas* (58,100) (1,672) Continental Resources* (14,200) (258) Denbury Resources* (63,700) (2,847) Diamond Offshore Drilling (7,600) (861) Enbridge (57,100) (2,094) Forest Oil* (11,900) (512) Oceaneering International* (4,659) (353) Overseas Shipholding Group (33,924) (2,606) Peabody Energy (72,400) (3,466) Quicksilver Resources* (78,336) (3,686) Range Resources (20,800) (846) Rowan (15,500) (567) Spectra Energy (25,827) (632) - -------------------------------------------------------------------------------- 66 SEI Institutional Managed Trust / Annual Report / September 30, 2007 - -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) - -------------------------------------------------------------------------------- Tetra Technologies* (54,600) $ (1,154) Tidewater (11,729) (737) TransCanada (55,100) (2,017) W&T Offshore (51,700) (1,260) -------------- (30,288) -------------- FINANCIALS -- (2.5)% Affiliated Managers Group* (5,600) (714) AMB Property+ (19,600) (1,172) Archstone-Smith Trust+ (13,900) (836) Arthur J. Gallagher (18,500) (536) AvalonBay Communities+ (11,400) (1,346) Bear Stearns (33,592) (4,125) Camden Property Trust+ (13,200) (848) Capitol Federal Financial (46,900) (1,604) City National (8,000) (556) Commerce Bancorp (98,999) (3,839) Conseco* (101,200) (1,619) Douglas Emmett+ (55,068) (1,362) Equity Residential+ (10,400) (441) Fidelity National Financial, Cl A (60,400) (1,056) First American (30,500) (1,117) Fulton Financial (3,900) (56) Hudson City Bancorp (237,815) (3,658) IntercontinentalExchange* (8,100) (1,230) Jefferies Group (60,000) (1,670) Leucadia National (84,641) (4,081) Markel* (1,000) (484) Marsh & McLennan (5,600) (143) MBIA (43,839) (2,676) MGIC Investment (16,096) (520) OneBeacon Insurance Group (1,047) (23) Peoples United Financial (65,310) (1,129) Plum Creek Timber+ (10,300) (461) Progressive (20,000) (388) Rayonier+ (3,000) (144) SL Green Realty+ (9,000) (1,051) T. Rowe Price Group (17,400) (969) Unitrin (7,300) (362) Valley National Bancorp (57,625) (1,278) White Mountains Insurance Group (1,000) (520) -------------- (42,014) -------------- HEALTH CARE -- (1.9)% Abraxis BioScience* (7,000) (160) Advanced Medical Optics* (30,500) (933) Affymetrix* (40,900) (1,038) Brookdale Senior Living (57,219) (2,278) Cephalon* (18,900) (1,381) Community Health Care Systems* (8,300) (261) Cooper (66,139) (3,467) DaVita* (8,400) (531) Health Management Associates, Cl A (48,767) (338) - -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) - -------------------------------------------------------------------------------- Henry Schein* (4,300) $ (262) Kinetic Concepts* (19,648) (1,106) LifePoint Hospitals* (45,054) (1,352) McKesson (17,800) (1,046) Millipore (8,100) (614) Mylan (14,470) (231) Omnicare (82,500) (2,733) Patterson* (8,000) (309) Pharmaceutical Product Development (91,500) (3,243) Resmed* (69,800) (2,992) Respironics* (11,900) (572) Sepracor* (18,500) (509) Tenet Healthcare* (372,300) (1,251) Varian Medical Systems* (31,500) (1,320) VCA Antech* (22,000) (919) Vertex Pharmaceuticals* (43,900) (1,685) WellCare Health Plans* (3,950) (415) -------------- (30,946) -------------- INDUSTRIALS -- (1.5)% Aircastle (7,268) (243) AMR* (54,200) (1,208) BE Aerospace* (32,700) (1,358) Copa Holdings, Cl A (18,761) (751) Corporate Executive Board (39,780) (2,953) Corrections Corporation of America* (10,500) (275) Covanta Holding* (55,400) (1,358) Danaher (1,900) (157) DRS Technologies (15,636) (862) Expeditors International Washington (12,100) (572) Fastenal (23,400) (1,063) First Solar* (1,041) (123) Flowserve (14,100) (1,074) Foster Wheeler* (18,907) (2,482) General Cable (26,000) (1,745) Graco (2,708) (106) Joy Global (3,900) (198) Kansas City Southern* (10,500) (338) Monster Worldwide* (24,800) (845) Southwest Airlines (81,579) (1,207) Spirit Aerosystems Holdings, Cl A* (20,400) (794) Stericycle* (26,665) (1,524) Sunpower, Cl A* (26,600) (2,203) Toro (12,002) (706) UTI Worldwide (41,000) (943) -------------- (25,088) -------------- INFORMATION TECHNOLOGY -- (2.1)% Advanced Micro Devices* (95,700) (1,263) Amphenol,Cl A (34,400) (1,368) Applied Materials (41,800) (865) Avid Technology* (2,200) (60) BEA Systems* (61,700) (856) - -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Annual Report / September 30, 2007 67 SCHEDULE OF INVESTMENTS Large Cap Diversified Alpha Fund (Continued) September 30, 2007 - -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) - -------------------------------------------------------------------------------- Brocade Communication Systems* (46,723) $ (400) CACI International, Cl A* (5,000) (255) Cypress Semiconductor* (37,700) (1,101) Diebold (25,200) (1,145) Electronic Arts* (20,900) (1,170) Equinix* (15,800) (1,401) F5 Networks* (57,588) (2,142) Fair Isaac (39,302) (1,419) Fairchild Semiconductor, Cl A* (23,100) (432) Global Payments (3,507) (155) International Rectifier* (2,200) (73) JDS Uniphase* (106,133) (1,588) Maxim Integrated Products (10,228) (300) MEMIC Electronic Materials* (20,300) (1,195) Micron Technology* (110,800) (1,230) Molex (13,900) (374) Motorola (24,700) (458) Novell* (35,100) (268) Paychex (93,069) (3,816) QLogic* (138,495) (1,863) Rambus* (17,800) (340) Red Hat* (5,355) (106) Riverbed Technology* (24,016) (970) Salesforce.com* (43,300) (2,222) Sanmina* (938) (2) SAVVIS* (29,300) (1,136) Silicon Laboratories* (51,710) (2,159) Tellabs* (26,400) (251) VeriFone Holdings* (49,760) (2,206) Vishay Intertechnology* (48,700) (635) Zebra Technology, Cl A* (1,406) (51) -------------- (35,275) -------------- MATERIALS -- (0.6)% Florida Rock Industries (20,900) (1,306) Ivanhoe Mines* (116,700) (1,523) Louisiana-Pacific (29,100) (494) Mosaic* (43,500) (2,328) Potash of Saskatchewan (20,700) (2,188) Sealed Air (2,900) (74) Temple-Inland (22,600) (1,189) Weyerhaeuser (4,600) (333) -------------- (9,435) -------------- TELECOMMUNICATION SERVICES -- (0.2)% Citizens Communications (28,658) (410) Level 3 Communications* (347,830) (1,617) NII Holdings, Cl B* (15,500) (1,273) Windstream (26,241) (372) -------------- (3,672) -------------- - -------------------------------------------------------------------------------- Market Value Description Shares/Contracts ($ Thousands) - -------------------------------------------------------------------------------- UTILITIES -- (0.2)% Duke Energy (42,443) $ (794) Equitable Resources (21,900) (1,136) Wisconsin Energy (16,100) (725) -------------- (2,655) -------------- Total Common Stock Sold Short (Proceeds $(233,795)) ($ Thousands) (238,130) -------------- WRITTEN OPTIONS -- 0.0% June 2008 U.S. Ten Year Treasury Call, Expires 06/16/08, Strike Price: $95.50* (43) (42) -------------- Total Written Options (Premiums Received $(7)) ($ Thousands) (42) -------------- A summary of the open futures contracts held by the Fund at September 30, 2007, is as follows (see Note 2 in Notes to Financial Statements): - -------------------------------------------------------------------------------- UNREALIZED NUMBER OF APPRECIATION TYPE OF CONTRACTS EXPIRATION (DEPRECIATION) CONTRACT LONG (SHORT) DATE ($ THOUSANDS) - -------------------------------------------------------------------------------- 90-Day Euro$ (62) Mar-2008 $ (78) 90-Day Euro$ 5 Mar-2009 7 90-Day Euro$ (44) Mar-2010 (46) 90-Day Euro$ (17) Mar-2011 (8) 90-Day Euro$ (5) Mar-2012 2 90-Day Euro$ 59 Jun-2008 125 90-Day Euro$ 68 Jun-2009 60 90-Day Euro$ (143) Jun-2010 (66) 90-Day Euro$ (4) Jun-2011 (1) 90-Day Euro$ 11 Sep-2008 17 90-Day Euro$ 58 Sep-2009 35 90-Day Euro$ (24) Sep-2010 (13) 90-Day Euro$ (2) Sep-2011 -- 90-Day Euro$ (40) Dec-2007 9 90-Day Euro$ (75) Dec-2008 (83) 90-Day Euro$ (45) Dec-2009 (54) 90-Day Euro$ (24) Dec-2010 (11) 90-Day Euro$ (5) Dec-2011 1 10-Year Swap (169) Dec-2007 58 S&P 500 Composite Index 929 Dec-2007 10,362 U.S. 2-Year Note 77 Dec-2007 100 U.S. 5-Year Note 29 Dec-2007 22 U.S. 10-Year Note (162) Dec-2007 78 U.S. Long Treasury Bond 17 Dec-2007 (14) ---------- $ 10,502 ========== - -------------------------------------------------------------------------------- 68 SEI Institutional Managed Trust / Annual Report / September 30, 2007 A summary of outstanding swap agreements held by the Fund at September 30, 2007, is as follows (see Note 2 in Notes to Financial Statements):
- ---------------------------------------------------------------------------------------------------------------------- TOTAL RETURN SWAPS - ---------------------------------------------------------------------------------------------------------------------- NET UNREALIZED NOTIONAL APPRECIATION EXPIRATION AMOUNT (DEPRECIATION) DESCRIPTION DATE ($ THOUSANDS) ($ THOUSANDS) - ---------------------------------------------------------------------------------------------------------------------- The Fund delivers payment on the monthly reset spread from Bank of America--CMBS AAA 10 YR Index plus 35 basis points times the notional amount. The Fund delivers payment if the return on the spread appreciates over the payment period and receives payment if the return on the spread depreciates over the payment period. (Counterparty: Bank of America) 10/31/07 $ (7,000) $ (24) The Fund receives payment on the monthly reset spread from Bank of America--CMBS AAA 10 YR Index plus 10 basis points times the notional amount. The Fund receives payment if the return on the spread appreciates over the payment period and pays if the return on the spread depreciates over the payment period. (Counterparty: Wachovia) 12/31/07 7,000 24 The Fund receives payment on the monthly reset spread from Bank of America--CMBS AAA 10 YR Index plus 30 basis points times the notional amount. The Fund receives payment if the return on the spread appreciates over the payment period and pays if the return on the spread depreciates over the payment period. (Counterparty: Merrill Lynch) 01/31/08 20,000 69 The Fund receives payment on the monthly reset spread from Bank of America--CMBS AAA 10 YR Index plus 5 basis points times the notional amount. The Fund receives payment if the return on the spread appreciates over the payment period and pays if the return on the spread depreciates over the payment period. (Counterparty: Bank of America) 01/31/08 15,000 52 The Fund receives payment on the monthly reset spread from Bank of America--CMBS AAA 10 YR Index plus 8 basis points times the notional amount. The Fund receives payment if the return on the spread appreciates over the payment period and pays if the return on the spread depreciates over the payment period. (Counterparty: Bank of America) 10/02/07 15,000 51 The Fund receives payment on the monthly reset spread from Bank of America--CMBS IG 10 YR Index plus 20 basis points times the notional amount. The Fund receives payment if the return on the spread appreciates over the payment period and pays if the return on the spread depreciates over the payment period. (Counterparty: Bank of America) 10/31/07 12,000 37 The Fund delivers payment on the monthly reset spread from Lehman Brothers--CMBS AAA 8.5 Index plus 35 basis points times the notional amount. The Fund delivers payment if the return on the spread appreciates over the payment period and receives payment if the return on the spread depreciates over the payment period. (Counterparty: Wachovia) 11/01/07 (7,000) (43) The Fund receives payment on the monthly reset spread from Lehman Brothers--CMBS AAA 8.5 Index plus 15 basis points times the notional amount. The Fund receives payment if the return on the spread appreciates over the payment period and pays if the return on the spread depreciates over the payment period. (Counterparty: JPMorgan Chase) 01/01/08 5,000 31 ----------- $ 197 =========== - --------------------------------------------------------------------------------------------------------------------- CREDIT DEFAULT SWAPS - ---------------------------------------------------------------------------------------------------------------------- NET UNREALIZED NOTIONAL APPRECIATION EXPIRATION AMOUNT (DEPRECIATION) DESCRIPTION DATE ($ THOUSANDS) ($ THOUSANDS) - ---------------------------------------------------------------------------------------------------------------------- Fund receives a monthly payment of 0.0533% (0.640% per annum) times notional amount of ABX.HE.A 07-1 Index. Upon a defined credit event the Fund pays the notional amount and takes receipt of the deliverable obligation. (Counterparty: Merrill Lynch) 08/25/37 $ (500) $ (220) Fund receives a monthly payment of 0.0142% (0.170% per annum) times notional amount of ABX.HE.AA 06-2 Index. Upon a defined credit event the Fund pays the notional amount and takes receipt of the deliverable obligation. (Counterparty: Merrill Lynch) 05/25/46 (2,200) 199 - ---------------------------------------------------------------------------------------------------------------------- NET UNREALIZED NOTIONAL APPRECIATION EXPIRATION AMOUNT (DEPRECIATION) DESCRIPTION DATE ($ THOUSANDS) ($ THOUSANDS) - ---------------------------------------------------------------------------------------------------------------------- Fund receives a monthly payment of 0.0533% (0.640% per annum) times notional amount of ABX.HE.A 07-1 Index. Upon a defined credit event the Fund pays the notional amount and takes receipt of the deliverable obligation. (Counterparty: JPMorgan Chase) 08/25/37 $ (1,000) $ (433) Fund receives a monthly payment of 0.0533% (0.640% per annum) times notional amount of ABX.HE.A 07-1 Index. Upon a defined credit event the Fund pays the notional amount and takes receipt of the deliverable obligation. (Counterparty: Goldman Sachs) 08/25/37 (500) (209) Fund receives a monthly payment of 0.0367% (0.440% per annum) times notional amount of ABX.HE.A 06-2 Index. Upon a defined credit event the Fund pays the notional amount and takes receipt of the deliverable obligation. (Counterparty: Bank of America) 05/25/46 (9,850) (2,615) Fund receives a monthly payment of 0.0450% (0.540% per annum) times notional amount of ABX.HE.A 06-1 Index. Upon a defined credit event the Fund pays the notional amount and takes receipt of the deliverable obligation. (Counterparty: Merrill Lynch) 07/25/45 (225) (27) Fund receives a monthly payment of 0.0142% (0.170% per annum) times notional amount of ABX.HE.AA 06-2 Index. Upon a defined credit event the Fund pays the notional amount and takes receipt of the deliverable obligation. (Counterparty: Merrill Lynch) 05/25/46 (2,200) 193 Fund receives a monthly payment of 0.0125% (0.150% per annum) times notional amount of ABX.HE.AA 07-1 Index. Upon a defined credit event the Fund pays the notional amount and takes receipt of the deliverable obligation. (Counterparty: JPMorgan Chase) 08/25/37 (2,250) (60) Fund receives a monthly payment of 0.0142% (0.170% per annum) times notional amount of ABX.HE.AA 06-2 Index. Upon a defined credit event the Fund pays the notional amount and takes receipt of the deliverable obligation. (Counterparty: Bank of America) 05/25/46 (2,150) 152 Fund receives a monthly payment of 0.0125% (0.150% per annum) times notional amount of ABX.HE.AA 07-1 Index. Upon a defined credit event the Fund pays the notional amount and takes receipt of the deliverable obligation. (Counterparty: Bank of America) 08/25/37 (300) 5 Fund receives a monthly payment of 0.0142% (0.170% per annum) times notional amount of ABX.HE.AA 06-2 Index. Upon a defined credit event the Fund pays the notional amount and takes receipt of the deliverable obligation. (Counterparty: Bank of America) 05/25/46 (1,550) (26) Fund receives a monthly payment of 0.0125% (0.150% per annum) times notional amount of ABX.HE.AA 07-1 Index. Upon a defined credit event the Fund pays the notional amount and takes receipt of the deliverable obligation. (Counterparty: JPMorgan Chase) 08/25/37 (1,100) (16) Fund receives a monthly payment of 0.0142% (0.170% per annum) times notional amount of ABX.HE.AA 06-2 Index. Upon a defined credit event the Fund pays the notional amount and takes receipt of the deliverable obligation. (Counterparty: Wachovia) 05/25/46 (1,600) 166 Fund receives a monthly payment of 0.0142% (0.170% per annum) times notional amount of ABX.HE.AA 06-2 Index. Upon a defined credit event the Fund pays the notional amount and takes receipt of the deliverable obligation. (Counterparty: Wachovia) 05/25/46 (2,000) 248 Fund pays a quarterly payment of 0.0675% (0.270% per annum) times notional amount of Southwest Airlines Co., 6.500%, 03/01/12. Upon a defined credit event the Fund receives the notional amount and delivers of the defined obligation. (Counterparty: Merrill Lynch) 12/20/11 750 8 Fund pays a quarterly payment of 0.1125% (0.450% per annum) times notional amount of Lubrizol Corp., 7.250%, 06/15/35. Upon a defined credit event the Fund receives the notional amount and delivers of the defined obligation. (Counterparty: Merrill Lynch) 12/20/11 750 (5) Fund pays a quarterly payment of 0.1725% (0.690% per annum) times notional amount of Donnelley (R.R.) & Sons, 4.950%, 04/01/14. Upon a defined credit event the Fund receives the notional amount and delivers of the defined obligation. (Counterparty: Merrill Lynch) 12/20/11 750 (12)
- -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Annual Report / September 30, 2007 69 SCHEDULE OF INVESTMENTS Large Cap Diversified Alpha Fund (Concluded) September 30, 2007
- ---------------------------------------------------------------------------------------------------------------------- NET UNREALIZED NOTIONAL APPRECIATION EXPIRATION AMOUNT (DEPRECIATION) DESCRIPTION DATE ($ THOUSANDS) ($ THOUSANDS) - ---------------------------------------------------------------------------------------------------------------------- Fund pays a quarterly payment of 0.0500% (0.200% per annum) times notional amount of PPG Industries, Inc., 7.050%, 08/15/09. Upon a defined credit event the Fund receives the notional amount and delivers of the defined obligation. (Counterparty: JPMorgan Chase) 12/20/11 $ 750 $ (1) Fund pays a quarterly payment of 0.1125% (0.450% per annum) times notional amount of Lubrizol Corp., 7.250%, 06/15/25. Upon a defined credit event the Fund receives the notional amount and delivers of the defined obligation. (Counterparty: JPMorgan Chase) 12/20/11 750 (5) Fund pays a quarterly payment of 0.1100% (0.440% per annum) times notional amount of Autozone, Inc., 5.875%, 10/15/12. Upon a defined credit event the Fund receives the notional amount and delivers of the defined obligation. (Counterparty: Bank of America) 12/20/11 750 (5) Fund pays a quarterly payment of 0.1188% (0.475% per annum) times notional amount of Meadwestavaco Corp., 6.850%, 04/01/12. Upon a defined credit event the Fund receives the notional amount and delivers of the defined obligation. (Counterparty: Bank of America) 12/20/11 750 (1) Fund pays a quarterly payment of 0.1150% (0.460% per annum) times notional amount of Autozone, Inc., 5.875%, 10/15/12. Upon a defined credit event the Fund receives the notional amount and delivers of the defined obligation. (Counterparty: JPMorgan Chase) 12/20/11 750 (6) Fund pays a quarterly payment of 0.2950% (1.180% per annum) times notional amount of Gap, Inc., 8.800%, 12/15/08. Upon a defined credit event the Fund receives the notional amount and delivers of the defined obligation. (Counterparty: JPMorgan Chase) 12/20/11 750 18 Fund pays a quarterly payment of 0.1063% (0.425% per annum) times notional amount of Eastman Chemical, Inc., 7.600%, 02/01/27. Upon a defined credit event the Fund receives the notional amount and delivers of the defined obligation. (Counterparty: Bank of America) 12/20/11 750 (6) Fund pays a quarterly payment of 0.1375% (0.550% per annum) times notional amount of Black & Decker Corp., 7.125%, 06/01/11. Upon a defined credit event the Fund receives the notional amount and delivers of the defined obligation. (Counterparty: Bank of America) 12/20/11 750 (11) Fund pays a quarterly payment of 0.0475% (0.190% per annum) times notional amount of TJX Companies, 7.450%, 12/15/09. Upon a defined credit event the Fund receives the notional amount and delivers of the defined obligation. (Counterparty: Bank of America) 12/20/11 750 (1) Fund pays a quarterly payment of 0.0550% (0.220% per annum) times notional amount of Nucor Corp., 4.875%, 12/01/12. Upon a defined credit event the Fund receives the notional amount and delivers of the defined obligation. (Counterparty: Bank of America) 12/20/11 750 (1) Fund pays a quarterly payment of 0.0325% (0.130% per annum) times notional amount of Lowe's Companies, Inc., 8.250%, 06/01/10. Upon a defined credit event the Fund receives the notional amount and delivers of the defined obligation. (Counterparty: Merrill Lynch) 12/20/11 750 -- Fund pays a quarterly payment of 0.2950% (1.180% per annum) times notional amount of Gap, Inc., 8.800%, 12/15/08. Upon a defined credit event the Fund receives the notional amount and delivers of the defined obligation. (Counterparty: Bank of America) 12/20/11 750 16 Fund pays a quarterly payment of 0.1925% (0.770% per annum) times notional amount of Jones Apparel Group, 5.125%, 11/15/14. Upon a defined credit event the Fund receives the notional amount and delivers of the defined obligation. (Counterparty: JPMorgan Chase) 12/20/11 750 4 Fund pays a quarterly payment of 0.0350% (0.140% per annum) times notional amount of Pitney Bowes, Inc., 4.625%, 10/01/12. Upon a defined credit event the Fund receives the notional amount and delivers of the defined obligation. (Counterparty: Bank of America) 12/20/11 1,500 (1) Fund pays a quarterly payment of 0.1113% (0.445% per annum) times notional amount of Darden Restaurants, Inc., 7.125%, 02/01/16. Upon a defined credit event the Fund receives the notional amount and delivers of the defined obligation. (Counterparty: Bank of America) 12/20/11 750 (3) - ---------------------------------------------------------------------------------------------------------------------- NET UNREALIZED NOTIONAL APPRECIATION EXPIRATION AMOUNT (DEPRECIATION) DESCRIPTION DATE ($ THOUSANDS) ($ THOUSANDS) - ---------------------------------------------------------------------------------------------------------------------- Fund pays a quarterly payment of 0.1188% (0.475% per annum) times notional amount of The Limited, Inc., 6.125%, 12/01/12. Upon a defined credit event the Fund receives the notional amount and delivers of the defined obligation. (Counterparty: Bank of America) 12/20/11 $ 750 $ 4 Fund pays a quarterly payment of 0.1375% (0.550% per annum) times notional amount of Black & Decker Corp., 7.125%, 06/01/11. Upon a defined credit event the Fund receives the notional amount and delivers of the defined obligation. (Counterparty: JPMorgan Chase) 12/20/11 750 (10) Fund pays a quarterly payment of 0.2250% (0.900% per annum) times notional amount of MDC Holdings, Inc., 5.500%, 05/15/13. Upon a defined credit event the Fund receives the notional amount and delivers of the defined obligation. (Counterparty: Merrill Lynch) 12/20/11 750 (1) Fund pays a quarterly payment of 0.0975 (0.390% per annum) times notional amount of Hasbro, Inc., 2.750%, 12/01/21. Upon a defined credit event the Fund receives the notional amount and delivers of the defined obligation. (Counterparty: JPMorgan Chase) 12/20/11 750 5 Fund pays a quarterly payment of 0.0850% (0.340% per annum) times notional amount of Agrium, Inc., 8.250%, 02/15/16. Upon a defined credit event the Fund receives the notional amount and delivers of the defined obligation. (Counterparty: JPMorgan Chase) 12/20/11 750 (3) Fund pays a quarterly payment of 0.0845% (0.338% per annum) times notional amount of Whirlpool Corp., 7.750%, 07/15/16. Upon a defined credit event the Fund receives the notional amount and delivers of the defined obligation. (Counterparty: JPMorgan Chase) 12/20/11 750 4 Fund pays a quarterly payment of 0.1125% (0.450% per annum) times notional amount of Weyerhaeuser Company, 6.750%, 03/15/12. Upon a defined credit event the Fund receives the notional amount and delivers of the defined obligation. (Counterparty: Bank of America) 12/20/11 750 1 Fund pays a quarterly payment of 0.0550% (0.220% per annum) times notional amount of Nucor Corp., 4.875%, 10/01/12. Upon a defined credit event the Fund receives the notional amount and delivers of the defined obligation. (Counterparty: JPMorgan Chase) 12/20/11 750 (3) Fund pays a quarterly payment of 0.0675% (0.270% per annum) times notional amount of Southwest Airlines Co., 6.500%, 03/01/12. Upon a defined credit event the Fund receives the notional amount and delivers of the defined obligation. (Counterparty: JPMorgan Chase) 12/20/11 750 8 Fund pays a quarterly payment of 0.0975% (0.390% per annum) times notional amount of Radian Group, Inc., 7.750%, 06/01/11. Upon a defined credit event the Fund receives the notional amount and delivers of the defined obligation. (Counterparty: JPMorgan Chase) 12/20/13 750 92 Fund pays a quarterly payment of 0.0925% (0.370% per annum) times notional amount of Johnson Controls, Inc., 7.125%, 07/15/17. Upon a defined credit event the Fund receives the notional amount and delivers of the defined obligation. (Counterparty: Bank of America) 12/20/13 750 (4) Fund pays a quarterly payment of 0.0875% (0.350% per annum) times notional amount of MGIC Investment Corp., 6.000%, 09/15/16. Upon a defined credit event the Fund receives the notional amount and delivers of the defined obligation. (Counterparty: Bank of America) 12/20/13 750 43 Fund pays a quarterly payment of 0.0875% (0.350% per annum) times notional amount of PMI Group, Inc., 6.000%, 09/15/16. Upon a defined credit event the Fund receives the notional amount and delivers of the defined obligation. (Counterparty: JPMorgan Chase) 12/20/13 750 33 Fund pays a quarterly payment of 0.0975% (0.390% per annum) times notional amount of Johnson Controls, Inc., 7.125%, 07/15/17. Upon a defined credit event the Fund receives the notional amount and delivers of the defined obligation. (Counterparty: Bank of America) 12/20/13 750 (8) Fund pays a quarterly payment of 0.0875% (0.350% per annum) times notional amount of Alcan, Inc., 4.875%, 09/15/12. Upon a defined credit event the Fund receives the notional amount and delivers of the defined obligation. (Counterparty: Bank of America) 12/20/13 750 (3)
- -------------------------------------------------------------------------------- 70 SEI Institutional Managed Trust / Annual Report / September 30, 2007
- ---------------------------------------------------------------------------------------------------------------------- NET UNREALIZED NOTIONAL APPRECIATION EXPIRATION AMOUNT (DEPRECIATION) DESCRIPTION DATE ($ THOUSANDS) ($ THOUSANDS) - ---------------------------------------------------------------------------------------------------------------------- Fund pays a quarterly payment of 0.0975% (0.390% per annum) times notional amount of Radian Group, Inc., 7.750%, 06/01/11. Upon a defined credit event the Fund receives the notional amount and delivers of the defined obligation. (Counterparty: Bank of America) 12/20/13 $ 750 $ 107 Fund pays a quarterly payment of 0.0875% (0.350% per annum) times notional amount of PMI Group, Inc., 6.000%, 09/15/16. Upon a defined credit event the Fund receives the notional amount and delivers of the defined obligation. (Counterparty: Bank of America) 12/20/13 750 32 Fund pays a quarterly payment of 0.0875% (0.350% per annum) times notional amount of MGIC Investment Corp., 6.000%, 03/15/07. Upon a defined credit event the Fund receives the notional amount and delivers of the defined obligation. (Counterparty: JPMorgan Chase) 12/20/13 750 36 Fund pays a quarterly payment of 0.0700% (0.280% per annum) times notional amount of Nordstrom, Inc., 6.950%, 03/15/28. Upon a defined credit event the Fund receives the notional amount and delivers of the defined obligation. (Counterparty: JPMorgan Chase) 12/20/13 750 (5) Fund pays a quarterly payment of 0.0625% (0.250% per annum) times notional amount of Dow Chemical, Inc., 6.000%, 10/01/12. Upon a defined credit event the Fund receives the notional amount and delivers of the defined obligation. (Counterparty: Merrill Lynch) 12/20/13 750 3 Fund pays a quarterly payment of 0.1825% (0.730% per annum) times notional amount of Masco Corp., 5.875%, 07/15/12. Upon a defined credit event the Fund receives the notional amount and delivers of the defined obligation. (Counterparty: Bank of America) 12/20/13 750 (8) Fund pays a quarterly payment of 0.0650% (0.260% per annum) times notional amount of Dow Chemical, Inc., 6.000%, 10/01/12. Upon a defined credit event the Fund receives the notional amount and delivers of the defined obligation. (Counterparty: JPMorgan Chase) 12/20/13 750 (2) Fund pays a quarterly payment of 0.0700% (0.280% per annum) times notional amount of Nordstrom, Inc., 6.950%, 03/15/28. Upon a defined credit event the Fund receives the notional amount and delivers of the defined obligation. (Counterparty: Merrill Lynch) 12/20/13 750 (5) Fund pays a quarterly payment of 0.0538% (0.215% per annum) times notional amount of Carnival Corp., 6.650%, 01/15/28. Upon a defined credit event the Fund receives the notional amount and delivers of the defined obligation. (Counterparty: JPMorgan Chase) 06/20/12 650 4 Fund pays a quarterly payment of 0.0500% (0.200% per annum) times notional amount of Campbell Soup Co., 4.875%, 10/01/13. Upon a defined credit event the Fund receives the notional amount and delivers of the defined obligation. (Counterparty: Bank of America) 06/20/14 1,150 2 Fund pays a quarterly payment of 0.110% (0.440% per annum) times notional amount of Dow Chemical, Inc., 6.000%, 10/01/12. Upon a defined credit event the Fund receives the notional amount and delivers of the defined obligation. (Counterparty: Merrill Lynch) 12/20/11 (1,500) 13 Fund pays a quarterly payment of 0.0800% (0.320% per annum) times notional amount of Washington Mutual Co., 5.250%, 09/15/17. Upon a defined credit event the Fund receives the notional amount and delivers of the defined obligation. (Counterparty: JPMorgan Chase) 03/20/12 700 18 Fund pays a quarterly payment of 0.450% (1.800% per annum) times notional amount of Weyerhaeuser Company, 6.750%, 03/15/12. Upon a defined credit event the Fund receives the notional amount and delivers of the defined obligation. (Counterparty: Merrill Lynch) 03/20/12 750 3 Fund pays a quarterly payment of 0.0800% (0.320% per annum) times notional amount of Alcan, Inc., 4.875%, 09/15/12. Upon a defined credit event the Fund receives the notional amount and delivers of the defined obligation. (Counterparty: Bank of America) 03/20/14 650 (2) Fund receives a quarterly payment of 0.1000% (0.440% per annum) times notional amount of CDX.NA.IG Index. Upon a defined credit event the Fund pays the notional amount and takes receipt of the deliverable obligation. (Counterparty: Bank of America) 12/20/11 (13,800) (140) - ---------------------------------------------------------------------------------------------------------------------- NOTIONAL NET UNREALIZED EXPIRATION AMOUNT DEPRECIATION DESCRIPTION DATE ($ THOUSANDS) ($ THOUSANDS) - ---------------------------------------------------------------------------------------------------------------------- Fund receives a quarterly payment of 0.1000% (0.400% per annum) times notional amount of CDX.NA.IG Index. Upon a defined credit event the Fund pays the notional amount and takes receipt of the deliverable obligation. (Counterparty: Bank of America) 12/20/11 $ (1,000) $ (9) Fund receives a quarterly payment of 0.1000% (0.400% per annum) times notional amount of CDX.NA.IG Index. Upon a defined credit event the Fund pays the notional amount and takes receipt of the deliverable obligation. (Counterparty: Bank of America) 12/20/11 (650) (6) Fund receives a quarterly payment of 0.1000% (0.400% per annum) times notional amount of CDX.NA.IG Index. Upon a defined credit event the Fund pays the notional amount and takes receipt of the deliverable obligation. (Counterparty: Bank of America) 12/20/11 (750) (7) Fund receives a quarterly payment of 0.1000% (0.400% per annum) times notional amount of CDX.NA.IG Index. Upon a defined credit event the Fund pays the notional amount and takes receipt of the deliverable obligation. (Counterparty: Merrill Lynch) 12/20/11 (650) (2) Fund receives a quarterly payment of 0.1000% (0.400% per annum) times notional amount of CDX.NA.IG Index. Upon a defined credit event the Fund pays the notional amount and takes receipt of the deliverable obligation. (Counterparty: Merrill Lynch) 12/20/11 (3,750) (38) Fund receives a quarterly payment of 0.1000% (0.400% per annum) times notional amount of CDX.NA.IG Index. Upon a defined credit event the Fund pays the notional amount and takes receipt of the deliverable obligation. (Counterparty: Merrill Lynch) 12/20/11 (13,800) (140) ----------- ($ 2,643) ===========
Percentages are based on Net Assets of $1,654,841($ Thousands). * Non-Income Producing Security. ** Rate shown is the 7-day effective yield as of September 30, 2007. + Real Estate Investment Trust. ++ Investment in Affiliated Security (see Note 3). (A) Security, or portion thereof, has been pledged as collateral on open futures contracts. (B) The rate reported is the effective yield at time of purchase. (C) Variable Rate Security -- The rate reported on the Schedule of Investments is the rate in effect as of September 30, 2007. (D) All or a portion of this security has been pledged as collateral for securities sold short. The total market value of collateral for securities sold short at September 30, 2007 was $734,377 ($ Thousands). (E) Securities sold within terms of a private placement memorandum, exempt from registration under Section 144A of the Securities Act of 1933, as amended, and may be sold only to dealers in that program or other "accredited investors." These securities have been determined to be liquid under guidelines established by the Board of Trustees. (F) Zero Coupon Bond -- The rate reported on the Schedule of Investments is the effective yield at time of purchase. (G) Step Bonds -- The rate reflected on the Schedule of Investments is the effective yield on September 30, 2007. The coupon on a step bond changes on a specified date. (H) This security is traded on a foreign stock exchange. The total market value of such securities as of September 30, 2007 was $67 ($ Thousands) and represented 0.00% of Net Assets. ADR -- American Depositary Receipt ARM -- Adjustable Rate Mortgage Cl -- Class CMBS -- Commercial Mortgage-Backed Securities CMO -- Collateralized Mortgage Obligation FHLMC -- Federal Home Loan Mortgage Corporation FNMA -- Federal National Mortgage Association GNMA -- Government National Mortgage Association IO -- Interest Only LLC -- Limited Liability Company LP -- Limited Partnership Ltd. -- Limited MTN -- Medium Term Note NIM -- Net Interest Margin PLC -- Public Limited Company Ser -- Series STRIPS -- Separately Traded Registered Interest and Principal Securities TBA -- To Be Announced TIPS -- Treasury Inflation-Protected Securities Amounts designated as "--" are $0 or have been rounded to $0. The accompanying notes are an integral part of the financial statements. - -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Annual Report / September 30, 2007 71 SCHEDULE OF INVESTMENTS S&P 500 Index Fund September 30, 2007 - -------------------------------------------------------------------------------- SECTOR WEIGHTINGS (UNAUDITED)#: [THE FOLLOWING TABLE WAS REPRESENTED BY A BAR CHART IN THE PRINTED MATERIAL.] 17.7% Financials 14.3% Information Technology 10.8% Short-Term Investments 10.4% Energy 10.3% Health Care 10.2% Industrials 8.5% Consumer Staples 8.3% Consumer Discretionary 3.3% Telecommunication Services 3.0% Utilities 2.9% Materials 0.2% U.S. Treasury Obligation 0.1% Asset-Backed Security #Percentages based on total investments. Includes investments held as collateral for securities on loan (see Note 7). - -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) - -------------------------------------------------------------------------------- COMMON STOCK -- 96.9% CONSUMER DISCRETIONARY -- 9.0% Abercrombie & Fitch, Cl A 11,000 $ 888 Amazon.com (B)* 38,500 3,586 Apollo Group, Cl A (B)* 17,503 1,053 Autonation (B)* 18,826 334 Autozone* 5,894 685 Bed Bath & Beyond* 32,933 1,124 Best Buy (B) 50,641 2,330 Big Lots* 13,713 409 Black & Decker 8,209 684 Brunswick 11,315 259 Carnival 55,284 2,677 CBS, Cl B (B) 89,701 2,826 Centex 14,944 397 Circuit City Stores 17,754 140 Clear Channel Communications 62,063 2,324 Coach* 46,310 2,189 Comcast, Cl A (B)* 385,644 9,325 Darden Restaurants 18,113 758 Dillard's, Cl A 7,605 166 DIRECTV Group* 95,500 2,319 Dow Jones (B) 8,163 487 DR Horton (B) 34,149 437 E.W. Scripps, Cl A (B) 10,400 437 Eastman Kodak (B) 35,910 961 Family Dollar Stores 18,922 503 Ford Motor (B) 257,109 2,183 Fortune Brands (B) 19,019 1,550 Gannett 29,347 1,282 Gap 65,931 1,216 General Motors (B) 70,748 2,596 Genuine Parts 21,336 1,067 Goodyear Tire & Rubber* 24,993 760 H&R Block 40,304 854 - -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) - -------------------------------------------------------------------------------- Harley-Davidson (B) 32,208 $ 1,488 Harman International Industries 8,200 709 Harrah's Entertainment 23,287 2,024 Hasbro (B) 20,091 560 Hilton Hotels 48,587 2,259 Home Depot (B) 208,564 6,766 IAC/InterActive (B)* 27,200 807 International Game Technology 41,156 1,774 Interpublic Group (B)* 58,601 608 J.C. Penney 28,180 1,786 Johnson Controls 24,619 2,908 Jones Apparel Group (B) 13,590 287 KB Home (B) 9,655 242 Kohl's* 39,447 2,261 Leggett & Platt (B) 22,154 424 Lennar, Cl A 17,207 390 Limited Brands 42,727 978 Liz Claiborne (B) 12,923 444 Lowe's 188,136 5,272 Macy's 57,464 1,857 Marriott International, Cl A 41,240 1,793 Mattel 49,118 1,152 McDonald's 149,060 8,119 McGraw-Hill 42,321 2,155 Meredith 4,863 279 New York Times, Cl A (B) 17,992 355 Newell Rubbermaid 34,747 1,001 News, Cl A 291,133 6,402 Nike, Cl B (B) 47,294 2,774 Nordstrom (B) 27,802 1,304 Office Depot* 34,620 714 OfficeMax 9,393 322 Omnicom Group 40,304 1,938 Polo Ralph Lauren 7,700 599 Pulte Homes 26,555 361 RadioShack (B) 17,025 352 Sears Holdings (B)* 10,365 1,318 Sherwin-Williams 13,916 914 Snap-On 7,353 364 Stanley Works (B) 10,379 583 Staples 89,614 1,926 Starbucks* 90,458 2,370 Starwood Hotels & Resorts Worldwide 26,835 1,630 Target 106,419 6,765 Tiffany 16,973 889 Time Warner 469,114 8,613 TJX 56,867 1,653 Tribune 9,197 251 VF 11,214 906 Viacom, Cl B* 84,401 3,289 Walt Disney 245,627 8,447 Wendy's International 10,808 377 - -------------------------------------------------------------------------------- 72 SEI Institutional Managed Trust / Annual Report / September 30, 2007 - -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) - -------------------------------------------------------------------------------- Whirlpool (B) 9,805 $ 874 Wyndham Worldwide 22,602 740 Yum! Brands 64,870 2,195 -------------- 156,374 -------------- CONSUMER STAPLES -- 9.3% Altria Group 261,956 18,214 Anheuser-Busch 95,074 4,753 Archer-Daniels-Midland 81,666 2,701 Avon Products 55,151 2,070 Brown-Forman, Cl B 9,876 740 Campbell Soup (B) 27,275 1,009 Clorox 18,942 1,155 Coca-Cola 249,096 14,315 Coca-Cola Enterprises 34,817 843 Colgate-Palmolive 64,093 4,571 ConAgra Foods 61,752 1,614 Constellation Brands, Cl A (B)* 24,100 583 Costco Wholesale 55,218 3,389 CVS 184,895 7,327 Dean Foods 16,100 412 Estee Lauder, Cl A 14,500 616 General Mills 43,191 2,505 Hershey (B) 21,612 1,003 HJ Heinz 40,649 1,878 Kellogg 31,367 1,756 Kimberly-Clark 52,899 3,717 Kraft Foods, Cl A 199,388 6,881 Kroger 88,559 2,526 McCormick 16,261 585 Molson Coors Brewing, Cl B 8,523 849 Pepsi Bottling Group 16,436 611 PepsiCo 201,867 14,789 Procter & Gamble 391,976 27,572 Reynolds American (B) 21,440 1,363 Safeway 55,046 1,823 Sara Lee 91,687 1,530 Supervalu 25,997 1,014 Sysco 77,120 2,745 Tyson Foods, Cl A 31,590 564 UST 20,040 994 Wal-Mart Stores 300,411 13,113 Walgreen 125,144 5,912 Whole Foods Market (B) 17,600 862 WM Wrigley Jr. 26,760 1,719 -------------- 160,623 -------------- ENERGY -- 11.3% Anadarko Petroleum 57,880 3,111 Apache 41,000 3,692 Baker Hughes 39,734 3,591 BJ Services 36,656 973 - -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) - -------------------------------------------------------------------------------- Chesapeake Energy (B) 51,200 $ 1,805 Chevron 267,597 25,042 ConocoPhillips 203,625 17,872 Consol Energy 22,800 1,063 Devon Energy 55,713 4,635 El Paso (B) 87,294 1,481 ENSCO International (B) 18,900 1,060 EOG Resources 30,544 2,209 Exxon Mobil 692,636 64,110 Halliburton 114,579 4,400 Hess 33,775 2,247 Marathon Oil 85,056 4,850 Murphy Oil (B) 23,463 1,640 Nabors Industries* 34,778 1,070 National Oilwell Varco* 21,934 3,169 Noble (B) 33,542 1,645 Occidental Petroleum 104,204 6,677 Peabody Energy (B) 33,100 1,585 Rowan 13,797 505 Schlumberger (B) 148,862 15,631 Smith International (B) 24,900 1,778 Spectra Energy 78,461 1,921 Sunoco 15,157 1,073 Tesoro 17,100 787 Transocean (B)* 35,578 4,022 Valero Energy 67,508 4,535 Weatherford International* 42,254 2,839 Williams 74,765 2,547 XTO Energy 47,535 2,940 -------------- 196,505 -------------- FINANCIALS -- 19.2% ACE 40,385 2,446 Aflac 59,908 3,417 Allstate 75,259 4,304 AMBAC Financial Group 12,814 806 American Capital Strategies (B) 22,000 940 American Express 147,315 8,746 American International Group 320,271 21,666 Ameriprise Financial 28,584 1,804 AON (B) 36,429 1,632 Apartment Investment & Management, Cl A+ 12,162 549 Archstone-Smith Trust+ (B) 27,568 1,658 Assurant 13,000 696 AvalonBay Communities+ 9,900 1,169 Bank of America 552,370 27,768 Bank of New York Mellon 141,186 6,232 BB&T 67,797 2,738 Bear Stearns 14,798 1,817 Boston Properties+ 14,900 1,548 Capital One Financial (B) 51,362 3,412 - -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Annual Report / September 30, 2007 73 SCHEDULE OF INVESTMENTS S&P 500 Index Fund (Continued) September 30, 2007 - -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) - -------------------------------------------------------------------------------- CB Richard Ellis Group, Cl A* 23,400 $ 651 Charles Schwab 124,727 2,694 Chubb (B) 49,356 2,647 Cincinnati Financial 21,579 935 CIT Group 24,208 973 Citigroup 621,246 28,994 CME Group 6,147 3,610 Comerica 19,683 1,009 Commerce Bancorp (B) 23,400 907 Countrywide Financial (B) 73,771 1,402 Developers Diversified Realty+ (B) 15,900 888 Discover Financial Services* 65,530 1,363 E*Trade Financial* 53,439 698 Equity Residential+ 36,040 1,527 Fannie Mae 120,581 7,333 Federated Investors, Cl B 11,145 442 Fifth Third Bancorp 67,211 2,277 First Horizon National (B) 15,715 419 Franklin Resources 20,315 2,590 Freddie Mac 81,359 4,801 General Growth Properties+ (B) 30,700 1,646 Genworth Financial, Cl A 54,900 1,687 Goldman Sachs Group 50,662 10,981 Hartford Financial Services Group 39,286 3,636 Host Hotels & Resorts+ 65,100 1,461 Hudson City Bancorp (B) 61,900 952 Huntington Bancshares 45,575 774 IntercontinentalExchange* 8,600 1,306 Janus Capital Group (B) 21,777 616 JPMorgan Chase 425,472 19,495 Keycorp (B) 48,583 1,571 Kimco Realty+ (B) 32,200 1,456 Legg Mason (B) 16,400 1,382 Lehman Brothers Holdings (B) 66,006 4,075 Leucadia National (B) 21,200 1,022 Lincoln National 33,198 2,190 Loews 54,473 2,634 M&T Bank 9,561 989 Marsh & McLennan (B) 69,150 1,763 Marshall & Ilsley 31,970 1,399 MBIA 16,227 991 Merrill Lynch 107,947 7,694 Metlife (B) 91,905 6,409 MGIC Investment (B) 10,395 336 Moody's (B) 28,508 1,437 Morgan Stanley 130,661 8,232 National City 81,048 2,034 Northern Trust 23,605 1,564 Plum Creek Timber+ (B) 22,135 991 PNC Financial Services Group 42,783 2,914 Principal Financial Group 33,448 2,110 Progressive 89,568 1,739 Prologis+ (B) 32,060 2,127 - -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) - -------------------------------------------------------------------------------- Prudential Financial 58,166 $ 5,676 Public Storage+ 15,328 1,206 Regions Financial 86,863 2,561 Safeco 13,238 810 Simon Property Group+ (B) 27,709 2,771 SLM 51,343 2,550 Sovereign Bancorp 45,144 769 State Street 49,591 3,380 SunTrust Banks 44,396 3,359 Synovus Financial 40,875 1,147 T. Rowe Price Group (B) 33,208 1,849 Torchmark 12,205 761 Travelers 82,232 4,140 UnumProvident 42,852 1,049 US Bancorp 215,506 7,010 Vornado Realty Trust+ 16,314 1,784 Wachovia 237,160 11,894 Washington Mutual (B) 109,219 3,857 Wells Fargo 418,306 14,900 XL Capital, Cl A 22,605 1,790 Zions Bancorporation 13,760 945 -------------- 333,329 -------------- HEALTH CARE -- 11.3% Abbott Laboratories 190,868 10,234 Aetna 64,002 3,473 Allergan 38,366 2,473 AmerisourceBergen 22,296 1,011 Amgen* 134,493 7,608 Applera -- Applied Biosystems Group 22,957 795 Barr Pharmaceuticals* 13,300 757 Bausch & Lomb 6,774 433 Baxter International 80,738 4,544 Becton Dickinson (B) 30,562 2,508 Biogen Idec* 35,700 2,368 Boston Scientific (B)* 166,612 2,324 Bristol-Myers Squibb 243,901 7,029 C.R. Bard 12,888 1,137 Cardinal Health 47,455 2,967 Celgene* 47,200 3,366 Cigna 34,971 1,864 Coventry Health Care* 19,413 1,208 Covidien* 61,382 2,547 Eli Lilly 122,230 6,959 Express Scripts* 31,952 1,784 Forest Laboratories* 39,763 1,483 Genzyme* 32,932 2,040 Gilead Sciences* 116,176 4,748 Hospira* 19,504 808 Humana* 20,797 1,453 IMS Health 24,395 747 - -------------------------------------------------------------------------------- 74 SEI Institutional Managed Trust / Annual Report / September 30, 2007 - -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) - -------------------------------------------------------------------------------- Johnson & Johnson 360,656 $ 23,695 King Pharmaceuticals* 30,386 356 Laboratory of America Holdings* 14,263 1,116 Manor Care 9,114 587 McKesson 36,969 2,173 Medco Health Solutions* 34,458 3,115 Medtronic 142,717 8,051 Merck 272,417 14,081 Millipore (B)* 6,793 515 Mylan Laboratories 30,611 489 Patterson (B)* 17,400 672 PerkinElmer 15,240 445 Pfizer 865,104 21,135 Quest Diagnostics 19,824 1,145 Schering-Plough 202,272 6,398 St. Jude Medical* 41,094 1,811 Stryker* 29,642 2,038 Tenet Healthcare (B)* 58,976 198 Thermo Fisher Scientific* 52,543 3,033 UnitedHealth Group 166,047 8,042 Varian Medical Systems* 16,100 674 Waters* 12,697 850 Watson Pharmaceuticals* 12,771 414 WellPoint* 76,661 6,050 Wyeth 166,666 7,425 Zimmer Holdings* 29,655 2,402 -------------- 195,578 -------------- INDUSTRIALS -- 11.1% 3M 89,282 8,355 Allied Waste Industries* 31,842 406 American Standard 21,833 778 Avery Dennison 11,415 651 Boeing 97,632 10,250 Burlington Northern Santa Fe 37,524 3,046 C.H. Robinson Worldwide 21,600 1,173 Caterpillar 80,097 6,282 Cintas (B) 17,007 631 Cooper Industries, Cl A (B) 22,786 1,164 CSX 54,650 2,335 Cummins 13,070 1,672 Danaher (B) 29,748 2,460 Deere 28,251 4,193 Dover 25,637 1,306 Eaton 18,269 1,809 Emerson Electric 99,506 5,296 Equifax 17,225 657 FedEx 38,105 3,992 Fluor 11,022 1,587 General Dynamics 49,726 4,200 General Electric 1,279,907 52,988 Goodrich 15,720 1,073 - -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) - ------------------------------------------------------------------------------- Honeywell International 93,455 $ 5,558 Illinois Tool Works 50,424 3,007 Ingersoll-Rand, Cl A 37,006 2,016 ITT 22,700 1,542 L-3 Communications Holdings 15,523 1,586 Lockheed Martin 44,494 4,827 Masco (B) 45,668 1,058 Monster Worldwide* 16,034 546 Norfolk Southern 48,026 2,493 Northrop Grumman 42,519 3,316 Paccar (B) 30,994 2,642 Pall 15,395 599 Parker Hannifin (B) 14,514 1,623 Pitney Bowes 27,575 1,252 Precision Castparts 17,100 2,530 Raytheon 54,368 3,470 Robert Half International 21,027 628 Rockwell Automation 19,126 1,329 Rockwell Collins 21,078 1,540 RR Donnelley & Sons 27,311 998 Ryder System 7,554 370 Southwest Airlines (B) 96,749 1,432 Terex* 12,800 1,139 Textron 31,298 1,947 Tyco International 61,382 2,722 Union Pacific 33,247 3,759 United Parcel Service, Cl B 131,290 9,860 United Technologies 123,283 9,922 Waste Management 63,628 2,401 WW Grainger (B) 8,965 818 -------------- 193,234 -------------- INFORMATION TECHNOLOGY -- 15.7% Adobe Systems* 72,836 3,180 Advanced Micro Devices (B)* 69,363 916 Affiliated Computer Services, Cl A* 12,349 620 Agilent Technologies* 48,106 1,774 Akamai Technologies* 20,400 586 Altera (B) 44,551 1,073 Analog Devices 39,599 1,432 Apple* 108,592 16,673 Applied Materials (B) 169,550 3,510 Autodesk* 29,017 1,450 Automatic Data Processing 68,850 3,162 Avaya* 56,668 961 BMC Software* 25,549 798 Broadcom, Cl A* 56,636 2,064 CA 51,427 1,323 Ciena* 10,642 405 Cisco Systems* 761,663 25,219 Citrix Systems* 22,542 909 - -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Annual Report / September 30, 2007 75 SCHEDULE OF INVESTMENTS S&P 500 Index Fund (Concluded) September 30, 2007 - -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) - -------------------------------------------------------------------------------- Cognizant Technology Solutions, Cl A* 17,800 $ 1,420 Computer Sciences* 21,633 1,209 Compuware (B)* 40,575 325 Convergys* 17,076 296 Corning 194,878 4,804 Dell* 281,474 7,769 eBay* 141,632 5,527 Electronic Arts* 38,778 2,171 Electronic Data Systems 63,102 1,378 EMC* 262,640 5,463 Fidelity National Information Services 20,365 904 Fiserv* 21,380 1,087 Google, Cl A* 28,816 16,346 Hewlett-Packard 321,952 16,030 Intel 730,594 18,893 International Business Machines (B) 170,090 20,037 Intuit* 42,786 1,296 Jabil Circuit 23,079 527 JDS Uniphase (B)* 26,456 396 Juniper Networks (B)* 63,700 2,332 Kla-Tencor (B) 23,171 1,292 Lexmark International, Cl A* 12,039 500 Linear Technology (B) 27,494 962 LSI Logic (B)* 88,746 659 MEMC Electronic Materials* 28,100 1,654 Microchip Technology (B) 27,100 984 Micron Technology (B)* 94,369 1,048 Microsoft 1,006,962 29,665 Molex 17,760 478 Motorola 289,706 5,368 National Semiconductor 29,837 809 NCR* 22,368 1,114 Network Appliance* 46,376 1,248 Novell (B)* 42,389 324 Novellus Systems (B)* 15,727 429 Nvidia* 66,648 2,415 Oracle* 490,556 10,621 Paychex 42,456 1,741 QLogic* 19,848 267 Qualcomm 208,032 8,791 SanDisk* 28,400 1,565 Solectron (B)* 113,054 441 Sun Microsystems* 435,211 2,442 Symantec (B)* 110,447 2,140 Tektronix 9,459 262 Tellabs* 54,699 521 Teradyne* 23,707 327 Texas Instruments 179,234 6,558 Tyco Electronics* 61,382 2,175 Unisys* 43,195 286 - -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) - -------------------------------------------------------------------------------- VeriSign (B)* 30,700 $ 1,036 Western Union 96,512 2,024 Xerox* 114,136 1,979 Xilinx 35,709 933 Yahoo! (B)* 168,238 4,516 -------------- 271,839 -------------- MATERIALS -- 3.1% Air Products & Chemicals 27,026 2,642 Alcoa 111,335 4,355 Allegheny Technologies 12,759 1,403 Ashland 6,993 421 Ball 12,891 693 Bemis 13,090 381 Dow Chemical 118,175 5,089 E.I. Du Pont de Nemours (B) 115,535 5,726 Eastman Chemical 10,508 701 Ecolab 22,230 1,049 Freeport-McMoRan Copper & Gold, Cl B (B) 46,568 4,885 Hercules 14,607 307 International Flavors & Fragrances 9,794 518 International Paper (B) 53,370 1,914 MeadWestvaco 22,815 674 Monsanto 68,048 5,834 Newmont Mining 56,408 2,523 Nucor 37,682 2,241 Pactiv* 16,587 475 PPG Industries 20,545 1,552 Praxair 38,999 3,267 Rohm & Haas 17,822 992 Sealed Air (B) 20,128 514 Sigma-Aldrich (B) 16,536 806 Temple-Inland 13,177 694 United States Steel 14,826 1,571 Vulcan Materials (B) 11,849 1,056 Weyerhaeuser 26,388 1,908 -------------- 54,191 -------------- TELECOMMUNICATION SERVICES -- 3.6% Alltel 42,582 2,967 AT&T 761,658 32,226 CenturyTel 13,960 645 Citizens Communications (B) 42,331 606 Embarq 18,786 1,044 Qwest Communications International (B)* 192,526 1,764 Sprint Nextel 361,622 6,871 Verizon Communications 359,822 15,933 Windstream 59,646 842 -------------- 62,898 -------------- - -------------------------------------------------------------------------------- 76 SEI Institutional Managed Trust / Annual Report / September 30, 2007 - -------------------------------------------------------------------------------- Shares/Face Amount Market Value Description ($ Thousands) ($ Thousands) - -------------------------------------------------------------------------------- UTILITIES -- 3.3% AES* 83,090 $ 1,665 Allegheny Energy* 20,568 1,075 Ameren (B) 25,844 1,357 American Electric Power 49,615 2,286 Centerpoint Energy (B) 40,068 642 CMS Energy (B) 27,892 469 Consolidated Edison (B) 34,333 1,590 Constellation Energy Group 22,599 1,939 Dominion Resources (B) 36,670 3,091 DTE Energy 22,145 1,073 Duke Energy 157,222 2,938 Dynegy, Cl A* 50,289 465 Edison International 40,753 2,260 Entergy 24,464 2,649 Exelon 83,354 6,282 FirstEnergy 37,487 2,374 FPL Group 50,720 3,088 Integrys Energy Group 9,434 483 Nicor 5,525 237 NiSource 34,279 656 PG&E 43,829 2,095 Pinnacle West Capital 12,549 496 PPL 48,171 2,230 Progress Energy (B) 31,483 1,475 Public Service Enterprise Group 31,565 2,777 Questar 21,400 1,124 Sempra Energy 32,865 1,910 Southern (B) 93,635 3,397 TECO Energy 26,212 431 TXU 56,924 3,898 Xcel Energy 51,019 1,099 -------------- 57,551 -------------- Total Common Stock (Cost $737,032) ($ Thousands) 1,682,122 -------------- CORPORATE OBLIGATION (C) (E) -- 0.1% FINANCIALS -- 0.1% SLM EXL, Ser S 5.763%, 10/15/07 $ 2,641 2,641 -------------- Total Corporate Obligation (Cost $2,641) ($ Thousands) 2,641 -------------- ASSET-BACKED SECURITY (C) (E) (F) -- 0.1% MORTGAGE RELATED SECURITY -- 0.1% Duke Funding, Ser 2004-6B, Cl A1S1 5.430%, 10/09/07 1,801 1,801 -------------- Total Asset-Backed Security (Cost $1,801) ($ Thousands) 1,801 -------------- - -------------------------------------------------------------------------------- Shares/Face Amount Market Value Description ($ Thousands) ($ Thousands) - -------------------------------------------------------------------------------- CASH EQUIVALENTS**++ -- 11.8% SEI Daily Income Trust, Prime Obligation Fund, Cl A, 5.350% 51,746,418 $ 51,746 SEI Liquidity Fund LP, 5.367% (C) 152,878,076 152,878 -------------- Total Cash Equivalents (Cost $204,624) ($ Thousands) 204,624 -------------- U.S. TREASURY OBLIGATION (A) (D) -- 0.2% U.S. Treasury Bills 4.193%, 12/06/07 $ 2,960 2,940 -------------- Total U.S. Treasury Obligation (Cost $2,938) ($ Thousands) 2,940 -------------- Total Investments -- 109.1% (Cost $949,036) ($ Thousands) $ 1,894,128 ============== A summary of the open futures contracts held by the Fund at September 30, 2007, is as follows (see Note 2 in Notes to Financial Statements): - -------------------------------------------------------------------------------- NUMBER OF UNREALIZED CONTRACTS EXPIRATION APPRECIATION TYPE OF CONTRACT LONG DATE ($ THOUSANDS) - -------------------------------------------------------------------------------- S&P 500 Index E MINI 722 Dec-2007 $ 1,668 ========= Percentages are based on Net Assets of $1,736,166 ($ Thousands). * Non-Income Producing Security. ** Rate shown is the 7-day effective yield as of September 30, 2007. + Real Estate Investment Trust. ++ Investment in Affiliated Security (see Note 3). (A) Security, or portion thereof, has been pledged as collateral on open futures contracts. (B) This security or a partial position of this security is on loan at September 30, 2007. The total market value of securities on loan at September 30, 2007 was $152,953 ($ Thousands). (C) This security was purchased with cash collateral held from securities on loan. The total market value of such securities as of September 30, 2007 was $157,320 ($ Thousands). (D) The rate reported is the effective yield at time of purchase. (E) Variable Rate Security -- The rate reported on the Schedule of Investments is the rate in effect as of September 30, 2007. (F) Securities sold within terms of a private placement memorandum, exempt from registration under Section 144A of the Securities Act of 1933, as amended, and may be sold only to dealers in that program or other "accredited investors." These securities have been determined to be liquid under guidelines established by the Board of Trustees. Cl -- Class EXL -- Extendable Maturity LP -- Limited Partnership Ser -- Series The accompanying notes are an integral part of the financial statements. - -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Annual Report / September 30, 2007 77 SCHEDULE OF INVESTMENTS Small Cap Value Fund September 30, 2007 - -------------------------------------------------------------------------------- SECTOR WEIGHTINGS# (UNAUDITED): [THE FOLLOWING TABLE WAS REPRESENTED BY A BAR CHART IN THE PRINTED MATERIAL.] 24.6% Short-Term Investments 19.6% Financials 12.8% Information Technology 10.8% Industrials 9.9% Consumer Discretionary 5.3% Health Care 5.2% Energy 4.0% Materials 3.5% Utilities 3.4% Consumer Staples 0.4% Telecommunication Services 0.3% Asset-Backed Security 0.1% Exchange Traded Fund 0.1% U.S. Treasury Obligation 0.0% Warrants #Percentages based on total investments. Includes investments held as collateral for securities on loan (see Note 7). - -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) - -------------------------------------------------------------------------------- COMMON STOCK+++ -- 97.1% CONSUMER DISCRETIONARY -- 13.0% Advance Auto Parts 44,800 $ 1,503 Aftermarket Technology (B)* 61,161 1,941 American Axle & Manufacturing Holdings 82,517 2,084 American Greetings, Cl A (B) 78,619 2,076 AnnTaylor Stores (B)* 64,300 2,036 Applebee's International (B)* 13,058 325 Arctic Cat 43,600 713 ArvinMeritor (B) 66,000 1,110 Bally Technologies* 55,217 1,956 Bebe Stores (B) 131,284 1,921 Belo, Cl A 115,807 2,010 Big Lots (B)* 6,500 194 Blyth 25,900 530 Books-A-Million 7,500 99 Brinker International 27,541 756 Brown Shoe 72,150 1,400 Buckle 18,600 706 Build-A-Bear Workshop (B)* 39,400 700 California Pizza Kitchen* 20,900 367 Carrols Restaurant Group* 64,800 726 Carter's* 73,300 1,462 Cato, Cl A 59,500 1,216 Cavco Industries* 10,100 338 CBRL Group 72,300 2,950 Champion Enterprises (B)* 152,800 1,678 Charlotte Russe Holding* 55,000 805 Cheesecake Factory* 23,700 556 CKE Restaurants 22,500 365 Collective Brands* 39,400 869 Cooper Tire & Rubber 130,531 3,185 Corinthian Colleges (B)* 138,300 2,200 - -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) - -------------------------------------------------------------------------------- Courier 20,874 $ 735 CSK Auto (B)* 92,484 985 Dana 454,800 89 Dillard's, Cl A (B) 31,567 689 Dress Barn* 21,700 369 Ethan Allen Interiors (B) 193,024 6,310 Finish Line, Cl A (B) 86,534 376 Fossil (B)* 50,000 1,868 Furniture Brands International (B) 115,800 1,174 Group 1 Automotive (B) 11,000 369 Handleman (B) 49,600 151 Jack in the Box* 500 32 Jackson Hewitt Tax Service 17,200 481 Jakks Pacific (B)* 50,900 1,360 Jarden (B)* 70,686 2,187 Jo-Ann Stores* 37,000 781 Journal Communications, Cl A 107,100 1,015 Kellwood 94,100 1,604 Lakeland Industries* 76,370 913 Leapfrog Enterprises (B)* 162,126 1,338 Lear (B)* 56,000 1,798 Libbey 93,593 1,640 Lifetime Brands 83,200 1,688 Lin TV, Cl A* 81,900 1,066 Lithia Motors, Cl A 29,800 508 LKQ* 69,400 2,416 M/I Homes (B) 2,200 31 MarineMax (B)* 103,100 1,501 Marriott International, Cl A 66,900 2,908 Marvel Entertainment (B)* 54,500 1,277 MDC Partners, Cl A* 361,500 3,926 Men's Wearhouse 16,677 843 Modine Manufacturing 81,100 2,159 Morgans Hotel Group* 106,178 2,309 Movado Group 18,600 594 Nautilus (B) 37,400 298 Orient-Express Hotels, Cl A 67,500 3,461 Outdoor Channel Holdings (B)* 56,800 513 Pacific Sunwear of California (B)* 115,598 1,711 Perry Ellis International* 53,650 1,487 PF Chang's China Bistro* 11,800 349 Pier 1 Imports (B)* 183,600 868 Pinnacle Entertainment (B)* 124,300 3,385 Polaris Industries (B) 44,300 1,932 Pool (B) 42,200 1,054 Princeton Review* 283,484 2,259 Quiksilver (B)* 279,800 4,001 Rare Hospitality International* 48,300 1,841 Regis (B) 41,298 1,318 Rent-A-Center (B)* 185,000 3,354 Ruby Tuesday (B) 52,100 956 Ruth's Chris Steak House (B)* 63,200 901 Ryland Group (B) 19,000 407 Sally Beauty Holdings (B)* 97,662 825 - -------------------------------------------------------------------------------- 78 SEI Institutional Managed Trust / Annual Report / September 30, 2007 - -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) - -------------------------------------------------------------------------------- Scholastic (B)* 73,400 $ 2,559 Shoe Carnival* 37,300 589 Sinclair Broadcast Group, Cl A 160,600 1,934 Skechers U.S.A., Cl A* 44,600 986 Sonic Automotive, Cl A (B) 154,900 3,708 Starwood Hotels & Resorts Worldwide 16,300 990 Stoneridge* 36,400 371 Talbots (B) 101,900 1,834 Tempur-Pedic International (B) 24,400 872 Trans World Entertainment (B)* 56,100 257 Tupperware Brands (B) 60,500 1,905 Tween Brands (B)* 66,500 2,184 Unifirst 24,457 916 Vail Resorts (B)* 64,564 4,022 Valassis Communications* 46,000 410 Warner Music Group (B) 206,200 2,083 World Wrestling Entertainment, Cl A 98,100 1,479 Zale (B)* 131,200 3,036 -------------- 147,322 -------------- CONSUMER STAPLES -- 4.4% BJ's Wholesale Club* 150,200 4,981 Casey's General Stores 49,020 1,358 Central Garden and Pet (B)* 107,166 954 Central Garden and Pet, Cl A* 78,838 708 Chattem (B)* 13,660 963 Chiquita Brands International (B)* 195,600 3,096 Corn Products International 26,541 1,217 Del Monte Foods 67,300 707 Elizabeth Arden (B)* 79,836 2,152 Fresh Del Monte Produce 5,900 170 Hain Celestial Group* 76,800 2,468 JM Smucker 18,664 997 Lancaster Colony 17,200 656 Longs Drug Stores 42,700 2,121 Molson Coors Brewing, Cl B 44,300 4,415 Nash Finch (B) 42,900 1,709 NBTY* 34,500 1,401 Pantry* 66,145 1,695 Performance Food Group (B)* 57,548 1,734 Pilgrim's Pride (B) 84,900 2,949 Prestige Brands Holdings* 9,300 102 Ralcorp Holdings (B)* 46,551 2,598 Ruddick 80,200 2,690 Sanderson Farms (B) 63,400 2,642 Universal (B) 89,310 4,372 Weis Markets 23,600 1,007 -------------- 49,862 -------------- ENERGY -- 6.8% Alon USA Energy 17,200 581 American Oil & Gas* 68,500 399 Atlas America 32,724 1,690 - -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) - -------------------------------------------------------------------------------- Aurora Oil & Gas* 265,800 $ 383 Berry Petroleum, Cl A 52,775 2,089 Bois d'Arc Energy* 3,200 61 Cal Dive International (B)* 163,200 2,448 CARBO Ceramics (B) 7,300 370 Cimarex Energy 90,100 3,356 Complete Production Services* 15,300 313 Comstock Resources* 135,500 4,179 Delek US Holdings 46,900 1,176 Delta Petroleum (B)* 90,900 1,632 Double Hull Tankers 71,400 1,063 Dresser-Rand Group* 64,400 2,751 Edge Petroleum 90,400 1,161 Energy Partners* 56,601 831 Forest Oil* 79,550 3,424 GeoMet* 176,106 896 Global Industries* 130,800 3,369 Goodrich Petroleum (B)* 30,301 961 Grey Wolf (B)* 641,400 4,201 Gulf Island Fabrication 800 31 Gulfmark Offshore (B)* 7,400 360 Hercules Offshore* 53,401 1,394 Holly 8,600 515 Horizon Offshore* 31,600 521 ION Geophysical (B)* 207,400 2,868 Lufkin Industries 18,000 990 Mariner Energy (B)* 139,820 2,896 Newpark Resources* 274,400 1,471 North American Energy Partners* 59,900 1,034 Oil States International* 27,500 1,328 Parker Drilling* 100,900 819 Petroquest Energy* 2,400 26 Rosetta Resources (B)* 211,800 3,884 RPC (B) 231,200 3,285 SEACOR Holdings* 9,800 932 St Mary Land & Exploration 107,800 3,845 Stone Energy* 73,000 2,921 Superior Energy Services (B)* 23,500 833 Swift Energy* 154,829 6,336 Tesoro 17,000 782 Uranium Resources* 42,230 397 USEC (B)* 119,000 1,220 W-H Energy Services* 22,829 1,684 -------------- 77,706 -------------- FINANCIALS -- 25.1% 1st Source 8,800 202 ACA Capital Holdings (B)* 38,100 232 Acadia Realty Trust+ (B) 41,400 1,123 Advance America Cash Advance Centers 46,700 498 Advanta, Cl B (B) 64,200 1,760 AMB Property+ 41,800 2,500 - -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Annual Report / September 30, 2007 79 SCHEDULE OF INVESTMENTS Small Cap Value Fund (Continued) September 30, 2007 - -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) - -------------------------------------------------------------------------------- AmCOMP* 23,500 $ 222 Amcore Financial (B) 47,874 1,193 American Equity Investment Life Holding 97,177 1,035 American Physicians Capital 19,500 760 Ameris Bancorp 13,700 248 Amtrust Financial Services (B) 49,900 757 Anchor Bancorp Wisconsin (B) 25,100 678 Annaly Capital Management+ 156,900 2,499 Anthracite Capital+ (B) 137,700 1,253 Arbor Realty Trust+ (B) 186,803 3,529 Argo Group International Holdings* 6,873 299 Ashford Hospitality Trust+ 49,900 501 Aspen Insurance Holdings 97,000 2,707 Assured Guaranty 125,800 3,418 AvalonBay Communities+ 32,400 3,825 BancFirst 13,500 606 Bancorp* 2,700 50 Bancorpsouth 107,596 2,615 Bank Mutual 154,225 1,818 Bank of the Ozarks (B) 6,700 205 Bankunited Financial, Cl A (B) 35,000 544 Banner 400 14 Berkshire Hills Bancorp 20,600 623 BioMed Realty Trust+ 56,900 1,371 Boston Private Financial Holdings (B) 30,900 860 Boston Properties+ 52,400 5,444 British Land (United Kingdom)+ (I) 72,336 1,727 Camden Property Trust+ (B) 39,412 2,532 Capital Lease Funding+ 149,700 1,534 Capital Trust, Cl A+ (B) 50,515 1,793 Capstead Mortgage+ (B) 90,300 928 Cardinal Financial 92,474 924 Cascade Bancorp 17,200 383 Cash America International 52,200 1,963 Cathay General Bancorp (B) 43,998 1,417 Chemical Financial (B) 35,500 861 Citizens Republic Bancorp (B) 61,236 986 City Bank 14,750 424 City Holding 37,300 1,358 CNA Surety* 25,500 450 Columbia Banking System 35,469 1,129 Commerce Group 45,400 1,338 Community Bancorp* 3,900 98 Community Bank System (B) 22,500 439 Community Trust Bancorp 4,690 141 CompuCredit (B)* 25,000 543 Corporate Office Properties Trust+ (B) 24,900 1,037 Corus Bankshares (B) 114,500 1,491 Cousins Properties+ (B) 73,900 2,170 Darwin Professional Underwriters* 32,600 704 Dawnay Day Sirius (United Kingdom) (I)* 260,400 341 - -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) - -------------------------------------------------------------------------------- Dawnay Day Treveria (United Kingdom) (I) 471,407 $ 670 DCT Industrial Trust+ (B) 200,600 2,100 Dearborn Bancorp* 35,900 463 Delphi Financial Group, Cl A 44,550 1,801 Douglas Emmett+ 135,900 3,361 Education Realty Trust+ (B) 120,999 1,633 Employers Holdings 114,679 2,364 Encore Bancshares* 13,700 288 Endurance Specialty Holdings 31,036 1,290 Entertainment Properties Trust+ (B) 13,600 691 Equity One+ (B) 80,939 2,202 Equity Residential+ (B) 172,300 7,299 Evercore Partners, Cl A 26,000 684 FBL Financial Group, Cl A 16,300 644 Federal Agricultural Mortgage, Cl C 38,900 1,142 FelCor Lodging Trust+ 11,400 227 Financial Federal (B) 28,800 807 First American 88,500 3,241 First Community Bancshares (B) 5,900 214 First Financial (B) 8,200 248 First Financial Bancorp (B) 181,609 2,321 First Financial Bankshares (B) 6,500 261 First Financial Holdings 10,500 328 First Industrial Realty Trust+ (B) 46,700 1,815 First Merchants 33,400 720 First Midwest Bancorp 59,300 2,026 First Niagara Financial Group (B) 223,700 3,165 First State Bancorporation 18,310 360 FirstFed Financial (B)* 18,600 922 FirstMerit (B) 132,365 2,616 Flagstar Bancorp (B) 52,400 510 Flushing Financial 27,400 460 Forest City Enterprises, Cl A 32,800 1,809 Fpic Insurance Group* 16,800 723 Frontier Financial (B) 56,750 1,324 GAMCO Investors, Cl A 22,500 1,233 General Growth Properties+ (B) 144,170 7,730 Gramercy Capital+ (B) 150,326 3,784 Great Southern Bancorp (B) 2,100 52 Greater Bay Bancorp (B) 2,100 58 Greene County Bancshares 10,100 368 Greenhill (B) 10,800 659 Hallmark Financial Services* 10,400 146 Hammerson (United Kingdom)+ (I) 64,301 1,535 Hancock Holding (B) 44,088 1,767 Hanmi Financial 66,000 1,022 Harleysville Group 6,600 211 Heritage Commerce 7,400 157 Hersha Hospitality Trust+ 78,700 779 Hilb Rogal & Hobbs (B) 122,900 5,325 Home Bancshares 2,700 59 Horace Mann Educators 70,776 1,395 Horizon Financial 12,200 247 - -------------------------------------------------------------------------------- 80 SEI Institutional Managed Trust / Annual Report / September 30, 2007 - -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) - -------------------------------------------------------------------------------- Host Hotels & Resorts+ (B) 427,555 $ 9,594 HRPT Properties Trust+ 95,700 946 IMPAC Mortgage Holdings+ (B) 67,100 103 Imperial Capital Bancorp 6,100 172 Infinity Property & Casualty (B) 41,982 1,688 Intervest Bancshares 19,300 478 IPC Holdings (B) 40,200 1,160 Irwin Financial (B) 29,800 328 KBW (B)* 54,400 1,566 Kimco Realty+ (B) 193,200 8,735 Lakeland Financial 9,900 229 Land Securities Group (United Kingdom)+ (I) 55,420 1,899 LandAmerica Financial Group (B) 9,000 351 LaSalle Hotel Properties+ 58,200 2,449 Liberty Property Trust+ 37,100 1,492 Luminent Mortgage Capital+ (B) 102,700 171 Maguire Properties+ (B) 57,100 1,475 Marlin Business Services* 43,300 620 Max Capital 54,100 1,517 Meadowbrook Insurance Group* 33,800 305 MetroCorp Bancshares 3,300 53 MFA Mortgage Investments+ 163,409 1,315 Mid-America Apartment Communities+ (B) 35,766 1,783 Nara Bancorp 22,000 344 National Financial Partners (B) 11,644 617 National Interstate 13,600 419 National Retail Properties+ (B) 90,400 2,204 Navigators Group* 7,900 429 NBT Bancorp (B) 41,600 904 NewAlliance Bancshares (B) 115,981 1,703 Newcastle Investment+ (B) 42,840 755 NorthStar Realty Finance+ (B) 46,300 460 Novastar Financial (B) 2,925 26 NYMAGIC 13,100 364 Ocwen Financial (B)* 3,800 36 Odyssey Re Holdings 29,400 1,091 Old National Bancorp (B) 64,200 1,064 Oriental Financial Group 42,700 491 Pacific Capital Bancorp 27,566 725 Pennsylvania Real Estate Investment Trust+ 11,100 432 Phoenix 59,500 840 Pico Holdings (B)* 51,500 2,140 Piper Jaffray (B)* 60,612 3,249 Platinum Underwriters Holdings 125,459 4,511 PMI Group 18,184 595 Preferred Bank 23,700 932 Presidential Life 31,600 536 ProAssurance (B)* 51,249 2,761 Procentury 16,100 236 Provident Bankshares 24,200 758 - -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) - -------------------------------------------------------------------------------- PS Business Parks+ 30,399 $ 1,728 Radian Group (B) 13,600 317 Rainier Pacific Financial Group 23,042 385 RAIT Financial Trust+ (B) 29,400 242 RenaissanceRe Holdings 31,200 2,041 RLI 10,900 618 Saul Centers+ (B) 18,800 968 SeaBright Insurance Holdings* 44,800 765 Security Bank (B) 5,000 63 Security Capital Assurance (B) 21,600 493 Selective Insurance Group 38,200 813 Signature Bank (B)* 48,542 1,710 Simmons First National, Cl A 3,900 103 Simon Property Group+ (B) 87,300 8,730 South Financial Group (B) 78,080 1,776 Southside Bancshares 6,100 135 Southwest Bancorp 14,700 277 Sterling Bancshares 114,274 1,304 Sterling Financial, Washington Shares 61,668 1,659 Stewart Information Services 134,400 4,606 Strategic Hotels & Resorts+ 36,600 754 Sun Communities+ 65,900 1,982 Sunstone Hotel Investors+ 63,000 1,615 Superior Bancorp (B)* 151,876 1,341 Susquehanna Bancshares (B) 49,800 1,001 SVB Financial Group (B)* 38,800 1,838 Synergy Financial Group 61,500 932 Taylor Capital Group 15,300 427 Technology Investment Capital 41,900 560 Thomas Properties Group 60,200 722 TradeStation Group* 70,900 827 Trico Bancshares 6,500 145 UMB Financial 28,448 1,219 Umpqua Holdings (B) 61,209 1,225 Unibail (France)+ (I) 11,770 3,021 United America Indemnity, Cl A* 19,000 409 United Bankshares 47,570 1,448 Validus Holdings* 35,500 860 Ventas+ (B) 88,100 3,647 Verde Realty PIPE (H) (J)* 21,100 696 Vornado Realty Trust+ (B) 68,100 7,447 Washington Federal 28,270 742 WesBanco (B) 22,000 550 West Coast Bancorp 18,900 537 Westfield Financial 70,500 685 Wilshire Bancorp 47,000 516 Winthrop Realty Trust+ (B) 71,500 481 Wintrust Financial 26,198 1,118 WR Berkley 48,037 1,423 WSFS Financial 33,589 2,096 Zenith National Insurance 34,000 1,526 -------------- 284,930 -------------- - -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Annual Report / September 30, 2007 81 SCHEDULE OF INVESTMENTS Small Cap Value Fund (Continued) September 30, 2007 - -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) - -------------------------------------------------------------------------------- HEALTH CARE -- 6.9% Accelrys* 244,600 $ 1,676 Advanced Medical Optics (B)* 118,500 3,625 Albany Molecular Research* 30,900 467 Alliance Imaging* 2,800 25 Alpharma, Cl A 5,800 124 Amedisys (B)* 45,200 1,737 America Service Group* 50,600 574 AMN Healthcare Services* 178,900 3,351 Applera -- Celera Group* 124,100 1,745 Apria Healthcare Group (B)* 118,100 3,072 Axcan Pharma* 198,228 4,117 Brookdale Senior Living (B) 24,800 987 Cambrex 146,500 1,595 Chemed 38,900 2,418 Community Health Systems* 99,600 3,131 Conmed (B)* 106,900 2,992 Cooper (B) 129,410 6,784 Cross Country Healthcare (B)* 199,300 3,482 Datascope 22,000 744 DexCom* 49,500 494 Discovery Laboratories (B)* 122,100 328 DJO (B)* 14,833 728 Emergent Biosolutions* 18,800 167 Greatbatch (B)* 29,900 795 Hanger Orthopedic Group* 53,600 607 Healthspring* 137,400 2,679 HealthTronics* 150,363 767 ICU Medical* 19,400 752 InterMune* 1,500 29 Invacare 45,900 1,073 Kendle International (B)* 15,527 645 Kensey Nash* 28,490 744 Kindred Healthcare (B)* 70,600 1,264 LifePoint Hospitals* 75,900 2,278 Magellan Health Services (B)* 71,700 2,910 Matrixx Initiatives* 23,100 456 Medical Staffing Network Holdings* 147,200 754 Merge Technologies (B)* 85,000 373 Myriad Genetics (B)* 67,700 3,531 National Dentex* 39,400 625 Neurocrine Biosciences (B)* 68,400 684 Orthofix International* 36,340 1,780 Owens & Minor (B) 22,187 845 Par Pharmaceutical (B)* 26,300 488 Pharmacopeia Drug Discovery* 146,850 840 PharMerica (B)* 112,441 1,678 Providence Service* 18,900 555 PSS World Medical* 74,468 1,425 Res-Care* 69,894 1,596 Salix Pharmaceuticals (B)* 2,700 34 Sciele Pharma (B)* 68,600 1,785 STERIS 20,100 549 - -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) - -------------------------------------------------------------------------------- Sunrise Senior Living (B)* 19,400 $ 686 Symmetry Medical* 60,008 1,002 Viropharma* 29,900 266 -------------- 78,858 -------------- INDUSTRIALS -- 14.0% ABX Air* 85,600 606 ACCO Brands* 37,900 851 Actuant, Cl A 14,500 942 Acuity Brands (B) 30,800 1,555 Alaska Air Group* 23,700 547 Albany International, Cl A 104,700 3,925 Altra Holdings* 21,000 350 American Woodmark (B) 16,100 399 AO Smith 63,500 2,786 Apogee Enterprises 36,700 952 Applied Industrial Technologies (B) 18,425 568 Arkansas Best (B) 76,000 2,482 Astec Industries* 25,500 1,465 Atlas Air Worldwide Holdings* 27,000 1,394 Avis Budget Group* 49,382 1,130 BE Aerospace* 31,622 1,313 Beacon Roofing Supply* 10,900 111 Belden CDT 29,294 1,374 Brady, Cl A (B) 73,841 2,649 Brink's 61,800 3,453 Celadon Group* 109,300 1,286 Chart Industries* 59,800 1,923 CIRCOR International 33,756 1,533 Clean Harbors* 37,587 1,673 Commercial Vehicle Group* 104,000 1,334 Consolidated Graphics* 22,300 1,400 Crane 83,500 4,006 Danaos 39,000 1,408 Deluxe (B) 128,300 4,727 Diamond Management & Technology Consultants (B) 93,700 862 Dollar Thrifty Automotive Group (B)* 27,300 947 EMCOR Group* 41,400 1,298 Encore Wire (B) 28,000 704 EnPro Industries (B)* 50,600 2,054 ESCO Technologies* 50,500 1,679 Federal Signal 105,205 1,616 First Advantage, Cl A* 9,300 164 First Consulting Group* 156,190 1,609 G&K Services 3,864 155 GATX (B) 11,200 479 GeoEye* 39,800 1,025 Global Cash Access* 4,400 47 Goodman Global* 168,251 4,018 GrafTech International* 48,200 860 Granite Construction 20,400 1,082 Great Lakes Dredge & Dock* 103,900 910 - -------------------------------------------------------------------------------- 82 SEI Institutional Managed Trust / Annual Report / September 30, 2007 - -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) - -------------------------------------------------------------------------------- H&E Equipment Services* 52,000 $ 935 Heidrick & Struggles International (B)* 49,000 1,786 Hubbell, Cl B 68,200 3,896 Hudson Highland Group* 67,500 859 ICF International* 27,000 745 IKON Office Solutions (B) 94,300 1,212 Interface, Cl A 72,981 1,317 JetBlue Airways* 62,800 579 Kadant* 44,344 1,242 Kansas City Southern (B)* 94,406 3,037 Kaydon (B) 53,352 2,774 KBR* 70,100 2,718 Kelly Services, Cl A 19,700 390 Kforce* 83,500 1,074 Kirby* 27,200 1,201 Knight Transportation (B) 71,200 1,225 Korn/Ferry International* 66,900 1,105 LECG* 120,800 1,800 Marten Transport (B)* 27,100 418 Mesa Air Group (B)* 224,900 999 Milacron (B)* 34,743 247 Mueller Industries 21,408 774 Mueller Water Products, Cl B 24,290 267 Navigant Consulting* 27,400 347 Navios Maritime Holdings 27,300 359 Navistar International* 41,600 2,567 NCI Building Systems (B)* 25,300 1,093 Orbital Sciences (B)* 112,200 2,495 Pacer International 32,800 625 Pall 119,600 4,652 PeopleSupport* 158,400 1,894 Perini (B)* 72,205 4,038 PHH* 66,500 1,748 Power-One (B)* 167,100 852 Regal-Beloit 15,600 747 Republic Airways Holdings* 32,400 686 RSC Holdings (B)* 67,600 1,109 Ryder System 64,900 3,180 Saia* 8,900 147 Schawk 21,200 479 School Specialty (B)* 50,344 1,743 Skywest 48,100 1,211 Spherion (B)* 99,700 824 Superior Essex* 43,300 1,614 Tecumseh Products, Cl A* 155,200 2,988 Teledyne Technologies (B)* 99,527 5,314 Tetra Tech (B)* 96,722 2,043 Trimas* 78,240 1,038 United Rentals* 18,000 579 United Stationers* 9,400 522 Universal Forest Products 16,100 481 US Xpress Enterprises, Cl A (B)* 33,200 656 Wabash National 106,300 1,200 - -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) - -------------------------------------------------------------------------------- Walter Industries 95,200 $ 2,561 Waste Connections* 72,700 2,309 Waste Industries USA 14,000 401 Watson Wyatt Worldwide, Cl A 113,000 5,078 Watts Water Technologies, Cl A (B) 35,750 1,098 WESCO International* 41,088 1,764 YRC Worldwide (B)* 24,900 680 -------------- 159,373 -------------- INFORMATION TECHNOLOGY -- 16.7% ACI Worldwide* 12,000 268 Actel* 73,700 791 Alliance Semiconductor 253,400 583 AMIS Holdings (B)* 150,700 1,463 Applied Micro Circuits* 346,600 1,095 ARM Holdings ADR (B) 315,000 2,964 Arris Group (B)* 104,700 1,293 Asyst Technologies* 102,300 541 ATMI* 63,200 1,880 Avanex (B)* 365,200 599 Avocent (B)* 69,989 2,038 Axesstel* 411,000 370 BearingPoint (B)* 473,800 1,919 Benchmark Electronics* 98,200 2,344 Black Box 62,358 2,666 Broadridge Financial Solutions 116,600 2,210 Brocade Communications Systems* 710,000 6,078 CACI International, Cl A (B)* 132,612 6,775 Checkfree (B)* 7,319 341 Checkpoint Systems* 10,500 277 Ciber (B)* 129,000 1,007 Cirrus Logic* 125,800 805 Cognex 49,700 883 Coherent (B)* 72,843 2,337 Comverse Technology (B)* 194,000 3,841 Conexant Systems (B)* 92,500 111 CPI International* 56,950 1,083 CSG Systems International (B)* 81,900 1,740 CTS (B) 179,700 2,318 DSP Group* 52,600 833 Dycom Industries* 87,356 2,676 Earthlink (B)* 479,500 3,798 Electronics for Imaging (B)* 89,000 2,391 Emulex (B)* 133,583 2,561 Entegris (B)* 263,900 2,291 Epicor Software* 46,000 633 Foundry Networks* 150,000 2,665 Gevity HR 119,500 1,225 Ikanos Communications (B)* 154,200 859 Imation 53,300 1,307 Intevac* 94,600 1,438 JDA Software Group* 44,900 928 JDS Uniphase (B)* 136,900 2,048 - -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Annual Report / September 30, 2007 83 SCHEDULE OF INVESTMENTS Small Cap Value Fund (Continued) September 30, 2007 - -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) - -------------------------------------------------------------------------------- Kemet (B)* 87,300 $ 642 Keynote Systems* 134,600 1,848 Lawson Software (B)* 601,100 6,017 LeCroy (B)* 38,900 290 Littelfuse (B)* 71,888 2,566 LTX* 314,300 1,122 Measurement Specialties* 18,400 513 Mentor Graphics (B)* 164,000 2,476 Mercury Computer Systems* 103,400 1,063 Methode Electronics (B) 94,500 1,422 Microsemi (B)* 29,931 834 MKS Instruments (B)* 70,100 1,333 MoneyGram International 13,100 296 MPS Group* 236,500 2,637 Neoware* 58,900 955 Omnivision Technologies* 18,700 425 ON Semiconductor (B)* 37,600 472 Orbotech* 210,300 4,423 Orckit Communications* 108,900 758 Parametric Technology* 234,326 4,082 PC Connection (B)* 40,500 506 Pericom Semiconductor* 19,600 230 Perot Systems, Cl A* 161,819 2,736 Photronics* 41,400 472 Plantronics (B) 46,397 1,325 PMC - Sierra (B)* 117,700 988 Polycom* 26,900 723 Powerwave Technologies (B)* 184,389 1,136 Quantum* 343,200 1,167 Rackable Systems (B)* 220,300 2,857 Radisys (B)* 67,300 838 RADWARE* 121,600 1,908 RF Micro Devices (B)* 427,500 2,877 Richardson Electronics 63,533 435 Rudolph Technologies* 44,100 610 SAIC (B)* 56,900 1,092 Seachange International* 249,000 1,723 Seagate Technology (B) 65,584 1,678 SI International (B)* 94,600 2,703 Silicon Image (B)* 217,800 1,122 SkillSoft ADR* 117,100 1,053 Skyworks Solutions (B)* 680,700 6,154 SonicWALL* 60,800 531 SRA International, Cl A (B)* 59,200 1,662 Standard Microsystems (B)* 65,600 2,520 Sybase (B)* 145,550 3,367 Synopsys* 74,221 2,010 Tech Data* 30,300 1,216 Technitrol 124,800 3,363 Tekelec (B)* 247,600 2,996 Tessera Technologies* 25,335 950 TIBCO Software (B)* 449,300 3,320 TNS (B) 63,247 1,016 - -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) - -------------------------------------------------------------------------------- Trident Microsystems* 61,800 $ 982 Ultratech (B)* 252,700 3,502 United Online (B) 202,600 3,041 Utstarcom (B)* 207,400 759 Verint Systems* 122,800 3,193 Wavecom ADR* 56,100 1,374 WidePoint* 268,100 214 Xyratex* 214,753 4,121 Zoran (B)* 212,500 4,292 -------------- 189,209 -------------- MATERIALS -- 5.2% AM Castle 22,500 733 Aptargroup (B) 51,039 1,933 Arch Chemicals 28,190 1,321 Bemis 70,889 2,064 Buckeye Technologies* 106,100 1,606 Constar International* 95,900 443 Crown Holdings* 54,300 1,236 Cytec Industries 76,600 5,239 Ferro (B) 29,177 583 FMC 37,262 1,938 H.B. Fuller (B) 128,400 3,811 Hercules 127,100 2,672 Louisiana-Pacific (B) 115,600 1,962 Myers Industries 19,300 382 Neenah Paper 57,468 1,902 NewMarket 16,800 830 Olin 48,205 1,079 OM Group* 48,500 2,561 Omnova Solutions* 77,300 447 PolyOne* 104,500 781 Quanex (B) 141,850 6,664 Rock-Tenn, Cl A 70,100 2,026 Ryerson (B) 32,400 1,093 Schweitzer-Mauduit International 31,300 729 Sensient Technologies (B) 135,600 3,915 Silgan Holdings 90,028 4,839 Spartech 71,700 1,223 Steel Dynamics (B) 37,900 1,770 Texas Industries 35,900 2,818 Wellman (B) 65,600 157 -------------- 58,757 -------------- TELECOMMUNICATION SERVICES -- 0.5% Atlantic Tele-Network 23,000 836 IDT 49,200 389 IDT, Cl B (B) 48,200 403 Premiere Global Services* 188,200 2,381 Syniverse Holdings (B)* 94,900 1,509 USA Mobility 34,200 577 -------------- 6,095 -------------- - -------------------------------------------------------------------------------- 84 SEI Institutional Managed Trust / Annual Report / September 30, 2007 - ------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) - ------------------------------------------------------------------------------- UTILITIES -- 4.5% AGL Resources 56,921 $ 2,255 Allete 82,400 3,688 Atmos Energy (B) 65,635 1,859 Avista 27,000 549 Black Hills 18,800 771 Centerpoint Energy (B) 177,100 2,839 CMS Energy (B) 164,800 2,772 El Paso Electric (B)* 171,100 3,958 Empire District Electric (B) 36,458 824 Great Plains Energy 14,300 412 Hawaiian Electric Industries 14,300 310 Idacorp 26,381 864 ITC Holdings 28,400 1,407 Laclede Group 61,500 1,985 Nicor 46,700 2,003 Oneok 16,300 773 Ormat Technologies (B) 54,300 2,516 PNM Resources (B) 32,600 759 Portland General Electric 204,075 5,673 SEMCO Energy* 144,200 1,138 Southern Union 101,400 3,155 Southwest Gas 64,598 1,828 UGI 47,200 1,226 UIL Holdings 98,500 3,103 Unisource Energy 5,500 164 Vectren 12,500 341 Westar Energy (B) 92,905 2,282 WGL Holdings (B) 35,967 1,219 Wisconsin Energy 15,687 706 -------------- 51,379 -------------- Total Common Stock (Cost $980,045) ($ Thousands) 1,103,491 -------------- EXCHANGE TRADED FUND (B) -- 0.1% iShares Russell 2000 Index Fund 20,835 1,668 -------------- Total Exchange Traded Fund (Cost $1,590) ($ Thousands) 1,668 -------------- Number of Warrants ----------- WARRANTS -- 0.0% Washington Mutual (D)* 335,142 84 -------------- Total Warrants (Cost $48) ($ Thousands) 84 -------------- - -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands)/Shares ($ Thousands) - -------------------------------------------------------------------------------- CORPORATE OBLIGATION (C) (F) -- 0.5% FINANCIALS -- 0.5% SLM EXL, Ser S 5.763%, 10/15/07 $ 5,786 $ 5,786 -------------- Total Corporate Obligation (Cost $5,786) ($ Thousands) 5,786 -------------- ASSET-BACKED SECURITY (C) (F) (G) -- 0.4% MORTGAGE RELATED SECURITY -- 0.4% Duke Funding, Ser 2004-6B, Cl A1S1 5.430%, 10/09/07 3,945 3,945 -------------- Total Asset-Backed Security (Cost $3,945) ($ Thousands) 3,945 -------------- CASH EQUIVALENTS** -- 32.1% Merrill Lynch EBP Master, 4.035% 1,172,116 1,172 SEI Daily Income Trust, Prime Obligation Fund, Cl A, 5.350% ++ 28,708,100 28,708 SEI Liquidity Fund LP, 5.367% ++ (C) 334,921,067 334,921 -------------- Total Cash Equivalents (Cost $364,801) ($ Thousands) 364,801 -------------- U.S. TREASURY OBLIGATION (A) (E) -- 0.1% U.S. Treasury Bills 3.914%, 11/23/07 1,020 1,015 -------------- Total U.S. Treasury Obligation (Cost $1,014) ($ Thousands) 1,015 -------------- Total Investments -- 130.3% (Cost $1,357,229) ($ Thousands) $ 1,480,790 ============== - -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Annual Report / September 30, 2007 85 SCHEDULE OF INVESTMENTS Small Cap Value Fund (Concluded) September 30, 2007 A summary of the open futures contracts held by the Fund at September 30, 2007, is as follows (see Note 2 in Notes to Financial Statements): - -------------------------------------------------------------------------------- NUMBER OF UNREALIZED TYPE OF CONTRACTS EXPIRATION APPRECIATION CONTRACT LONG (SHORT) DATE ($ THOUSANDS) - -------------------------------------------------------------------------------- Russell 2000 Index E-MINI 291 Dec-2007 $ 706 ======= Percentages are based on Net Assets of $1,136,116 ($ Thousands). * Non-Income Producing Security. ** Rate shown is the 7-day effective yield as of September 30, 2007. +++ Narrow industries are utilized for compliance purposes, whereas broad sectors are utilized for reporting. + Real Estate Investment Trust. ++ Investment in Affiliated Security (see Note 3). (A) Security, or portion thereof, has been pledged as collateral on open futures contracts. (B) This security or a partial position of this security is on loan at September 30, 2007 (see Note 7). The total market value of securities on loan at September 30, 2007 was $330,189 ($ Thousands). (C) This security was purchased with cash collateral held from securities on loan (see Note 7). The total market value of such securities as of September 30, 2007 was $344,652 ($ Thousands). (D) This warrant represents a potential distribution settlement in a legal claim and does not have a strike price or expiration date. (E) The rate reported is the effective yield at time of purchase. (F) Variable Rate Security -- The rate reported on the Schedule of Investments is the rate in effect as of September 30, 2007. (G) Securities sold within terms of a private placement memorandum, exempt from registration under Section 144A of the Securities Act of 1933, as amended, and may be sold only to dealers in that program or other "accredited investors." These securities have been determined to be liquid under guidelines established by the Board of Trustees. (H) Security fair valued using methods determined in good faith by the Valuation Committee of the Board of Trustees. The total market value of such securities as of September 30, 2007 was $696 ($ Thousands) and represented 0.06% of Net Assets. (I) This security is traded on a foreign stock exchange. The total market value of such securities as of September 30, 2007 was $9,193 ($ Thousands) and represented 0.81% of Net Assets. (J) Securities considered illiquid and restricted. The total market value of such securities as of September 30, 2007 was $696 ($ Thousands) and represented 0.06% of Net Assets. ADR -- American Depositary Receipt Cl -- Class EXL -- Extendable Maturity LP -- Limited Partnership PIPE -- Private Investment in Public Entity Ser -- Series The accompanying notes are an integral part of the financial statements. - -------------------------------------------------------------------------------- 86 SEI Institutional Managed Trust / Annual Report / September 30, 2007 Small Cap Growth Fund September 30, 2007 - -------------------------------------------------------------------------------- SECTOR WEIGHTINGS# (UNAUDITED): [THE FOLLOWING TABLE WAS REPRESENTED BY A BAR CHART IN THE PRINTED MATERIAL.] 22.0% Short-Term Investments 20.4% Information Technology 13.4% Health Care 12.0% Consumer Discretionary 11.3% Industrials 8.2% Financials 4.9% Energy 2.8% Materials 2.0% Telecommunication Services 1.6% Consumer Staples 0.9% Utilities 0.2% Asset-Backed Security 0.1% U.S. Treasury Obligation 0.1% Convertible Bond 0.1% Exchange Traded Fund 0.0% Warrants #Percentages based on total investments. Includes investments held as collateral for securities on loan (see Note 7). - -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) - -------------------------------------------------------------------------------- COMMON STOCK++ -- 97.5% CONSUMER DISCRETIONARY -- 15.2% Aeropostale* 88,363 $ 1,684 Aftermarket Technology* 28,429 902 Ameristar Casinos 18,000 506 BJ's Restaurants (B)* 37,400 787 Black & Decker 2,593 216 Blockbuster, Cl A* 125,093 672 Blue Nile (B)* 6,400 602 Blyth 33,320 681 Bob Evans Farms 24,293 733 Brown Shoe 69,750 1,353 Buckle 13,600 516 Capella Education* 23,240 1,299 Carrols Restaurant Group* 4,500 50 Carter's* 25,518 509 Casual Male Retail Group (B)* 238,500 2,137 CBRL Group 2,900 118 Century Casinos* 93,439 570 Charming Shoppes (B)* 297,500 2,499 Chipotle Mexican Grill, Cl A (B)* 39,575 4,675 Citi Trends (B)* 30,200 657 Coach* 64,700 3,058 Cooper Tire & Rubber 63,325 1,545 CROCS (B)* 166,900 11,224 CSK Auto (B)* 99,400 1,059 Ctrip.com International ADR 59,100 3,061 Deckers Outdoor* 1,400 154 Denny's* 207,810 831 DeVry 5,753 213 Dick's Sporting Goods* 5,082 341 Dolan Media* 41,400 1,006 Dover Downs Gaming & Entertainment 58,150 604 - -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) - -------------------------------------------------------------------------------- Dress Barn* 46,539 $ 792 Drew Industries (B)* 20,500 834 Dufry South America (United Kingdom) (J)* 70,800 1,839 Eddie Bauer Holdings (B)* 290,051 2,494 Focus Media Holding ADR (B)* 34,386 1,995 Gaiam, Cl A (B)* 139,800 3,359 GameStop, Cl A* 21,600 1,217 Genius Products* 382,000 1,031 Gildan Activewear* 48,800 1,922 Global Sources (B)* 57,600 1,277 Group 1 Automotive (B) 57,100 1,917 GSI Commerce (B)* 76,115 2,025 Gymboree* 54,600 1,924 Harris Interactive* 181,300 781 Hayes Lemmerz International* 129,458 539 hhgregg* 112,100 1,177 Hibbett Sports (B)* 123,326 3,059 Hooker Furniture 5,012 100 J Crew Group* 29,700 1,233 Jack in the Box* 5,800 376 Jackson Hewitt Tax Service 62,200 1,739 Jakks Pacific* 30,252 808 Jamba (B)* 109,100 767 Jarden* 26,000 805 Jo-Ann Stores* 17,019 359 Jos. A. Bank Clothiers (B)* 70,553 2,358 Journal Communications, Cl A 65,929 625 Lear* 34,900 1,120 Life Time Fitness (B)* 68,127 4,179 Lin TV, Cl A* 32,601 424 LKQ* 43,800 1,525 Lululemon Athletica* 29,700 1,248 Martha Stewart Living Omnimedia, Cl A (B) 148,600 1,731 Marvel Entertainment (B)* 119,600 2,803 McCormick & Schmick's Seafood Restaurants* 117,755 2,217 Men's Wearhouse (B) 58,245 2,943 Mohawk Industries* 8,789 715 Monarch Casino & Resort (B)* 9,900 282 Morningstar (B)* 16,275 999 National CineMedia 58,135 1,302 Nexstar Broadcasting Group, Cl A* 36,440 382 NVR* 1,384 651 O'Charleys 21,426 325 Outdoor Channel Holdings (B)* 64,600 583 Papa John's International* 1,400 34 Perry Ellis International* 34,027 943 Phillips-Van Heusen 29,165 1,531 Polaris Industries (B) 24,300 1,060 Pre-Paid Legal Services* 8,332 462 priceline.com (B)* 22,785 2,022 - -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Annual Report / September 30, 2007 87 SCHEDULE OF INVESTMENTS Small Cap Growth Fund (Continued) September 30, 2007 - -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) - -------------------------------------------------------------------------------- Quiksilver (B)* 563,200 $ 8,054 RadioShack 30,928 639 Red Robin Gourmet Burgers (B)* 39,900 1,712 Regis (B) 79,200 2,527 RRSat Global Communications Network* 73,500 1,801 Ruby Tuesday (B) 25,100 460 Shutterfly (B)* 177,800 5,674 Sinclair Broadcast Group, Cl A 205,609 2,476 Snap-On 22,895 1,134 Sonic Automotive, Cl A (B) 38,780 928 Sotheby's Holdings (B) 36,010 1,721 Stamps.com* 35,800 429 Standard Motor Products 56,975 536 Stoneridge* 39,497 403 Sturm Ruger* 65,923 1,181 Tecnisa (Brazil) (J) 451,700 2,833 Tempur-Pedic International (B) 128,145 4,581 Texas Roadhouse, Cl A* 38,413 449 Thor Industries 28,200 1,269 Timberland, Cl A (B)* 126,400 2,397 Town Sports International Holdings* 70,500 1,072 Triarc, Cl B 91,600 1,146 True Religion Apparel (B)* 126,900 2,234 Tupperware Brands (B) 114,160 3,595 Under Armour, Cl A (B)* 58,035 3,472 Universal Electronics* 35,500 1,154 Valuevision Media, Cl A* 75,900 562 Volcom (B)* 60,760 2,584 West Marine* 53,664 620 Wet Seal, Cl A (B)* 16,500 64 WMS Industries (B)* 83,800 2,774 Zumiez (B)* 105,250 4,670 -------------- 176,246 -------------- CONSUMER STAPLES -- 2.0% Alliance One International* 131,739 862 American Oriental Bioengineering (B)* 7,200 80 Asiatic Development (Malaysia) (J) 1,206,500 2,266 B&G Foods, Cl A 38,900 498 Bare Escentuals* 48,500 1,206 Boston Beer, Cl A* 26,940 1,311 Chattem (B)* 23,335 1,646 Church & Dwight 8,300 391 Cosan SA Industria e Comercio (Brazil) (J)* 214,500 2,914 Herbalife 35,721 1,624 Inter Parfums 71,500 1,692 Lance 118,815 2,735 Mannatech (B) 45,100 365 Nash Finch (B) 35,025 1,395 - -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) - -------------------------------------------------------------------------------- NBTY* 53,593 $ 2,176 TreeHouse Foods* 32,700 885 Universal 556 27 USANA Health Sciences (B)* 30,500 1,334 -------------- 23,407 -------------- ENERGY -- 6.2% Arena Resources (B)* 24,535 1,607 Arlington Tankers (B) 88,500 2,180 ATP Oil & Gas (B)* 27,000 1,270 Atwood Oceanics (B)* 20,400 1,562 BA Energy PIPE (Canada) (D) (G) (J)* 145,000 1,022 BA Energy, Deal #3 PIPE (Canada) (D) (G) (J)* 37,000 261 Basic Energy Services (B)* 84,700 1,780 Bois d'Arc Energy* 33,900 650 BPZ Energy PIPE (D) (G)* 286,500 2,235 Cal Dive International (B)* 211,000 3,165 CARBO Ceramics (B) 29,100 1,476 Carrizo Oil & Gas* 17,600 790 Complete Production Services* 102,900 2,107 Comstock Resources* 54,000 1,665 Core Laboratories* 18,270 2,328 Delek US Holdings 129,500 3,248 Denbury Resources (B)* 25,126 1,123 Dresser-Rand Group* 59,758 2,552 Dril-Quip (B)* 52,060 2,569 Encore Acquisition (B)* 68,100 2,155 EXCO Resources* 32,222 533 Hercules Offshore (B)* 95,600 2,496 Infinity Bio-Energy* 741,494 3,804 ION Geophysical (B)* 208,965 2,890 Kodiak Oil & Gas* 260,900 861 Lufkin Industries 6,000 330 Meridian Resource* 283,581 703 Natural Gas Services Group* 54,200 933 Oilsands Quest (B)* 398,000 1,763 Oilsands Quest PIPE (D) (G)* 13,700 61 OPTI (Canada) (J)* 122,000 2,286 Parker Drilling* 137,400 1,116 PetroHawk Energy* 51,100 839 Petroquest Energy (B)* 122,100 1,310 Rentech (B)* 822,800 1,777 Rosetta Resources* 90,316 1,656 StealthGas 67,000 1,154 Superior Energy Services (B)* 33,050 1,171 Superior Offshore International* 16,900 190 Superior Well Services (B)* 73,900 1,680 Swift Energy* 4,004 164 Synenco Energy (Canada) (D) (G) (H) (J)* 19,500 220 - -------------------------------------------------------------------------------- 88 SEI Institutional Managed Trust / Annual Report / September 30, 2007 - -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) - -------------------------------------------------------------------------------- Synenco Energy, Cl A (Canada) (J)* 156,360 $ 1,767 Union Drilling* 19,100 279 Uranium One (Canada) (J)* 148,549 1,966 USEC* 58,732 602 W-H Energy Services* 36,800 2,714 World Fuel Services 29,400 1,200 -------------- 72,210 -------------- FINANCIALS -- 9.9% A.G. Edwards 9,093 762 Acadia Realty Trust+ 69,200 1,877 Advance America Cash Advance Centers 11,400 122 Affiliated Managers Group (B)* 56,036 7,145 American Financial Realty Trust+ (B) 223,250 1,797 Amerisafe* 66,878 1,106 Bank of the Ozarks (B) 8,600 263 Bankunited Financial, Cl A 39,875 620 Canaccord Capital (Canada) (J) 101,100 1,931 CapitalSource+ 82,055 1,661 Cascade Bancorp (B) 31,812 708 Cash America International 47,569 1,789 Castlepoint Holdings 149,800 1,723 City Bank 400 11 Cohen & Steers (B) 28,900 1,070 Columbia Bancorp (B) 20,300 402 Companhia Brasileira de Desenvolvimento Imobiliari Turistico (Brazil) (J)* 3,500 1,822 Companhia Brasileira de Desenvolvimento Imobiliari Turistico (Brazil) (J)* 700 364 Corus Bankshares 53,816 701 Darwin Professional Underwriters* 8,800 190 Delphi Financial Group, Cl A 50,225 2,030 Dollar Financial (B)* 73,900 2,108 Dundee (Canada)+ (J)* 50,100 1,953 DundeeWealth (Canada) (J) 75,791 1,352 DundeeWealth (Canada) (J) 7,900 141 East West Bancorp 66,100 2,377 eHealth* 31,157 863 Essex Property Trust+ 3,800 447 Evercore Partners, Cl A 155,300 4,083 Ezcorp, Cl A (B)* 104,200 1,401 FCStone Group* 38,700 1,249 Federated Investors, Cl B 69,800 2,771 FelCor Lodging Trust+ 106,300 2,119 First Cash Financial Services* 92,400 2,164 First Industrial Realty Trust+ (B) 12,200 474 First Mercury Financial* 57,400 1,235 FirstFed Financial (B)* 48,267 2,392 GAMCO Investors, Cl A (B) 12,900 707 - -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) - -------------------------------------------------------------------------------- General Shopping Brasil (Brazil) (J)* 63,100 $ 499 General Shopping Brasil (Brazil) (J)* 208,900 1,652 GFI Group* 1,500 129 Glacier Bancorp 24,418 550 Gluskin Sheff + Associates (Canada) (H) (J) 69,600 2,136 Gluskin Sheff + Associates (Canada) (J) 18,800 577 GMP Capital Trust (Canada) (J) 74,900 1,644 Greenhill (B) 35,100 2,143 Grubb & Ellis (B)* 20,000 186 Grubb & Ellis Realty Advisors* 395,700 2,422 Hercules Technology Growth Capital 95,988 1,274 Hersha Hospitality Trust+ 174,200 1,725 HFF* 50,400 598 Highbury Financial (B)* 36,700 165 Highbury Financial Units* 115,400 638 Imperial Capital Bancorp 1,213 34 Jones Lang LaSalle 3,855 396 Kansas City Life Insurance 22,900 1,009 MarketAxess Holdings* 45,300 679 Meadowbrook Insurance Group* 57,700 520 Meruelo Maddux Properties* 289,100 1,709 MFA Mortgage Investments+ (B) 278,100 2,239 Move* 371,200 1,024 NASDAQ Stock Market (B)* 128,300 4,834 Nationwide Health Properties+ (B) 38,600 1,163 Nelnet, Cl A 53,300 972 NNN Realty Advisors (D) (G) 241,000 2,036 Ocwen Financial* 53,261 502 Omega Healthcare Investors+ 38,800 603 optionsXpress Holdings 39,200 1,025 PFF Bancorp 80,360 1,233 Piper Jaffray (B)* 49,100 2,632 Platinum Underwriters Holdings 56,760 2,041 Portfolio Recovery Associates (B) 33,400 1,772 Powershares QQQ 14,407 741 Preferred Bank 13,950 549 Ram Holdings Ltd.* 99,300 923 Sierra Bancorp (B) 1,900 54 Signature Bank (B)* 41,100 1,448 Sterling Financial, Washington Shares 37,500 1,009 SVB Financial Group (B)* 53,665 2,542 Taylor Capital Group 9,633 269 Thomas Weisel Partners Group* 77,800 1,129 Titanium Asset* 140,900 669 TradeStation Group* 45,300 529 UCBH Holdings (B) 66,300 1,159 United Fire & Casualty 35,000 1,368 Victory Acquisition* 50,032 465 Vineyard National Bancorp 19,938 333 Waddell & Reed Financial, Cl A 41,800 1,130 Westamerica Bancorporation 22,400 1,116 - -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Annual Report / September 30, 2007 89 SCHEDULE OF INVESTMENTS Small Cap Growth Fund (Continued) September 30, 2007 - -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) - -------------------------------------------------------------------------------- Wilshire Bancorp 44,300 $ 486 Winthrop Realty Trust+ (B) 22,700 153 World Acceptance (B)* 12,100 400 -------------- 115,163 -------------- HEALTH CARE -- 16.9% 3SBio ADR* 137,800 1,988 Abraxis BioScience (B)* 25,500 582 Acadia Pharmaceuticals (B)* 36,700 552 Accuray (B)* 18,500 323 Achillion Pharmaceuticals* 65,100 419 Acorda Therapeutics* 24,200 444 Adams Respiratory Therapeutics (B)* 9,970 384 Affymax* 9,100 246 Affymetrix (B)* 215,014 5,455 Albany Molecular Research* 45,585 688 Alexion Pharmaceuticals* 10,300 671 Align Technology (B)* 100,508 2,546 Alkermes (B)* 296,748 5,460 Alliance Imaging* 356,979 3,234 Altus Pharmaceuticals (B)* 81,600 856 Amedisys (B)* 39,430 1,515 American Dental Partners* 43,411 1,216 American Medical Systems Holdings (B)* 57,452 974 AMN Healthcare Services* 64,500 1,208 Amsurg* 119,228 2,751 Angiotech Pharmaceuticals* 64,400 404 Apria Healthcare Group (B)* 150,181 3,906 Arena Pharmaceuticals (B)* 158,300 1,733 Ariad Pharmaceuticals (B)* 328,800 1,522 Array Biopharma (B)* 91,100 1,023 Arthrocare (B)* 8,192 458 BioMarin Pharmaceuticals (B)* 144,582 3,600 Bradley Pharmaceuticals* 45,502 828 Bruker BioSciences* 7,900 70 Cambrex 58,789 640 Cell Genesys (B)* 267,500 1,022 Centene* 17,489 376 Cephalon (B)* 119,187 8,708 Chemed 34,132 2,122 Computer Programs & Systems (B) 33,423 881 Conceptus (B)* 52,400 995 Conmed* 31,484 881 Cubist Pharmaceuticals (B)* 287,555 6,076 Cutera* 15,100 396 CV Therapeutics (B)* 499,900 4,489 Cynosure, Cl A (B)* 87,784 3,239 Cypress Bioscience (B)* 77,924 1,067 Depomed (B)* 361,200 740 Dionex* 32,517 2,584 Discovery Laboratories (B)* 164,098 441 - -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) - -------------------------------------------------------------------------------- Emergency Medical Services, Cl A* 38,968 $ 1,179 Emergent Biosolutions* 8,300 74 Encysive Pharmaceuticals (B)* 440,000 664 Enzon Pharmaceuticals (B)* 59,800 527 Exelixis (B)* 240,621 2,548 Five Star Quality Care (B)* 156,700 1,288 Foxhollow Technologies* 37,600 993 Greatbatch* 45,289 1,204 Hanger Orthopedic Group* 13,938 158 HealthExtras* 34,100 949 Healthspring* 46,728 911 HealthTronics* 15,243 78 Healthways* 15,800 853 Hologic (B)* 35,645 2,174 Human Genome Sciences (B)* 316,499 3,257 I-Flow* 73,200 1,361 Illumina (B)* 94,213 4,888 Immunomedics* 117,975 270 Incyte (B)* 353,000 2,524 Integra LifeSciences Holdings (B)* 6,000 291 InterMune (B)* 22,500 430 Inverness Medical Innovations* 28,405 1,571 Invitrogen* 10,284 841 Isis Pharmaceuticals (B)* 35,288 528 ISTA Pharmaceuticals (B)* 180,500 1,245 Kendle International (B)* 31,260 1,298 KV Pharmaceutical, Cl A (B)* 17,200 492 Kyphon* 15,300 1,071 Landauer 13,419 684 LCA-Vision 13,283 390 LeMaitre Vascular* 64,400 486 LHC Group* 33,600 721 Lifecell (B)* 21,200 797 MannKind* 34,800 337 Martek Biosciences (B)* 22,000 639 Matria Healthcare* 33,537 877 Medarex (B)* 501,500 7,101 Medcath* 39,460 1,084 Medicines* 49,600 883 Medicis Pharmaceutical, Cl A 67,000 2,044 Medtox Scientific* 33,545 686 Mentor (B) 26,122 1,203 Metabolix (B)* 84,900 2,060 MGI Pharma (B)* 57,201 1,589 Micrus Endovascular* 93,000 1,699 MWI Veterinary Supply* 23,600 891 Myriad Genetics (B)* 77,438 4,038 Noven Pharmaceuticals (B)* 25,500 406 NuVasive* 11,516 414 Odyssey HealthCare* 244,300 2,348 Omnicell* 82,615 2,358 Omrix Biopharmaceuticals* 22,251 786 Onyx Pharmaceuticals* 13,894 605 - -------------------------------------------------------------------------------- 90 SEI Institutional Managed Trust / Annual Report / September 30, 2007 - -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) - -------------------------------------------------------------------------------- OraSure Technologies* 107,200 $ 1,077 OSI Pharmaceuticals (B)* 27,800 945 Panacos Pharmaceuticals* 106,539 170 Par Pharmaceutical* 17,000 316 Parexel International* 30,645 1,265 PDL BioPharma* 18,900 408 Pediatrix Medical Group* 22,500 1,472 Penwest Pharmaceuticals (B)* 132,600 1,460 PharmaNet Development Group* 22,753 661 Pozen (B)* 34,700 384 Profarma Distribuidora de Produtos Farmaceuticos (Brazil) (J)* 112,700 2,205 PSS World Medical* 117,800 2,254 Psychiatric Solutions (B)* 78,509 3,084 Qiagen* 69,395 1,347 Radiation Therapy Services* 31,600 658 Regeneron Pharmaceuticals (B)* 100,627 1,791 Res-Care* 29,217 667 Salix Pharmaceuticals (B)* 6,800 84 Sciele Pharma (B)* 176,307 4,588 Seattle Genetics (B)* 32,000 360 Senomyx (B)* 31,796 390 Sirona Dental Systems (B)* 54,100 1,930 Somanetics* 37,600 700 Spectranetics (B)* 93,345 1,258 Sun Healthcare Group* 71,400 1,193 SuperGen (B)* 79,200 344 SurModics (B)* 27,400 1,343 Tercica (B)* 126,300 783 Theravance* 15,900 415 TomoTherapy* 38,100 885 United Therapeutics (B)* 56,300 3,746 Ventana Medical Systems* 9,400 808 ViaCell* 36,682 173 Viropharma* 45,400 404 Vnus Medical Technologies* 38,993 620 Volcano (B)* 62,375 1,025 Watson Pharmaceuticals* 30,253 980 WellCare Health Plans* 10,023 1,057 West Pharmaceutical Services 82,398 3,433 Wright Medical Group (B)* 54,500 1,462 Xenoport* 8,000 376 -------------- 197,027 -------------- INDUSTRIALS -- 14.3% Accuride* 30,530 370 Acuity Brands (B) 70,620 3,565 Advisory Board* 51,162 2,991 Aecom Technology* 54,100 1,890 AGCO* 12,654 642 American Commercial Lines (B)* 86,900 2,062 American Reprographics (B)* 33,105 620 American Woodmark 20,726 514 - -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) - -------------------------------------------------------------------------------- AO Smith 6,900 $ 303 Apogee Enterprises 129,931 3,370 Applied Industrial Technologies 36,478 1,125 Barnes Group 42,180 1,346 BE Aerospace* 115,626 4,802 Belden CDT 68,717 3,223 Blount International (B)* 6,600 75 Bowne 22,279 371 Bucyrus International, Cl A 23,765 1,733 Ceradyne (B)* 63,250 4,791 Chicago Bridge & Iron 79,818 3,437 CIRCOR International 19,124 868 Clean Harbors* 40,800 1,816 COMSYS IT Partners* 118,489 1,992 Consolidated Graphics (B)* 26,000 1,633 Continental Airlines, Cl B* 21,884 723 Cornell* 7,179 169 Corrections of America* 46,370 1,213 CoStar Group* 55,390 2,961 CRA International (B)* 42,500 2,048 Crane 18,100 868 Cubic 4,100 173 Deluxe 18,390 677 Duff & Phelps* 44,701 820 Dynamic Materials 87,700 4,200 DynCorp International, Cl A* 96,283 2,225 Encore Wire 10,137 255 EnPro Industries* 21,999 893 ESCO Technologies (B)* 33,200 1,104 Evergreen Solar (B)* 84,200 752 ExpressJet Holdings* 132,546 410 Flint Energy Services (Canada) (J)* 64,900 1,746 Flow International* 153,700 1,356 Force Protection (B)* 38,600 836 Force Protection (D) (G)* 201,900 3,936 Forward Air 35,100 1,045 Fuel Tech* 9,983 221 Gardner Denver* 23,174 904 General Cable (B)* 63,695 4,275 Geo Group* 53,756 1,592 GeoEye* 37,100 955 Goodman Global* 94,100 2,247 GrafTech International* 71,158 1,269 Granite Construction 5,800 307 H&E Equipment Services (B)* 123,900 2,228 Heartland Express 45,200 645 Heico, Cl A 38,421 1,518 Heidrick & Struggles International (B)* 45,315 1,652 Herman Miller 14,400 391 Hexcel* 68,700 1,560 Horizon Lines, Cl A (B) 72,519 2,214 HUB Group, Cl A* 97,978 2,942 - -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Annual Report / September 30, 2007 91 SCHEDULE OF INVESTMENTS Small Cap Growth Fund (Continued) September 30, 2007 - -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) - -------------------------------------------------------------------------------- Hudson Highland Group* 34,566 $ 440 Hurco* 3,263 176 Huron Consulting Group* 23,450 1,703 IHS, Cl A* 54,304 3,068 II-VI (B)* 47,900 1,654 Innerworkings (B)* 172,297 2,969 JA Solar Holdings ADR (B)* 22,219 999 Kenexa* 45,400 1,397 Kennametal 16,453 1,382 Kforce* 31,400 404 Knight Transportation (B) 63,825 1,098 Knoll (B) 193,349 3,430 Korn/Ferry International* 26,770 442 Labor Ready* 45,900 850 Landstar System 31,300 1,314 Layne Christensen (B)* 22,900 1,270 Lincoln Electric Holdings 30,900 2,398 Lydall* 61,620 572 Manitowoc 22,308 988 Mcgrath Rentcorp 16,300 542 Middleby* 20,170 1,302 Multi-Color 21,256 485 NACCO Industries, Cl A 5,536 573 NCI Building Systems (B)* 52,900 2,286 Nuco2* 47,300 1,217 Old Dominion Freight Line* 31,995 767 Orbital Sciences (B)* 14,600 325 Orion Marine Group (D) (G)* 169,200 2,411 Perini (B)* 75,320 4,213 Pinnacle Airlines (B)* 117,039 1,875 Power-One (B)* 92,830 473 Quanta Services (B)* 66,740 1,765 RBC Bearings* 48,445 1,858 Republic Airways Holdings* 62,510 1,323 Resources Connection 23,500 544 RSC Holdings (B)* 202,600 3,323 Steelcase, Cl A 47,443 853 Sunpower, Cl A (B)* 8,839 732 Superior Essex* 13,400 500 TAL International Group 74,800 1,875 Teleflex 11,627 906 TeleTech Holdings* 48,100 1,150 TransDigm Group* 17,175 785 Tredegar 41,922 723 UAL* 14,276 664 United Industrial (B) 21,475 1,616 United Rentals* 73,200 2,355 US Airways Group* 20,076 527 Waste Connections* 41,810 1,328 Waste Industries USA 20,400 584 Watson Wyatt Worldwide, Cl A 75,160 3,378 -------------- 166,681 -------------- - -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) - -------------------------------------------------------------------------------- INFORMATION TECHNOLOGY -- 25.9% ACI Worldwide* 26,611 $ 595 Acme Packet (B)* 173,500 2,675 Actuate* 144,151 930 Advanced Energy Industries (B)* 121,116 1,829 Advent Software (B)* 36,300 1,705 American Software, Cl A 20,370 187 AMIS Holdings (B)* 98,100 953 Amkor Technology (B)* 205,900 2,372 Anadigics (B)* 28,055 507 Ansoft (B)* 9,600 317 Ariba* 77,652 837 Arris Group* 172,036 2,125 Arrow Electronics* 19,216 817 Art Technology Group (B)* 217,212 656 Aruba Networks (B)* 72,900 1,458 AsiaInfo Holdings* 123,890 1,122 Aspen Technology (B)* 20,900 299 Asyst Technologies* 418,900 2,216 Atheros Communications (B)* 119,335 3,576 ATMI* 44,104 1,312 Avocent* 116,700 3,398 Bankrate* 16,800 775 BigBand Networks (B)* 24,300 156 Blackboard (B)* 16,871 773 Blue Coat Systems* 5,000 394 Brooks Automation* 41,400 590 C-COR* 72,519 833 Captaris* 117,655 622 Chordiant Software (B)* 121,500 1,684 CMGI* 560,172 762 CNET Networks (B)* 471,400 3,512 Cogent (B)* 23,600 370 CommScope* 40,375 2,028 Commvault Systems* 70,200 1,300 Comtech Group (B)* 106,300 1,936 Comtech Telecommunications* 25,675 1,373 Comverge (B)* 14,071 462 Concur Technologies (B)* 104,128 3,282 Convergys* 33,519 582 CPI International* 8,200 156 Credence Systems* 337,868 1,044 CSG Systems International (B)* 133,955 2,847 CTS (B) 7,700 99 Cymer* 56,400 2,165 Cypress Semiconductor* 43,900 1,282 Daktronics (B) 71,183 1,938 Data Domain (B)* 42,500 1,315 DealerTrack Holdings* 106,389 4,456 DemandTec* 73,602 1,005 Digimarc* 77,836 703 Diodes (B)* 35,464 1,138 DivX (B)* 70,269 1,045 - -------------------------------------------------------------------------------- 92 SEI Institutional Managed Trust / Annual Report / September 30, 2007 - -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) - -------------------------------------------------------------------------------- Double-Take Software* 101,500 $ 1,940 DSP Group* 80,000 1,266 DTS* 36,000 1,093 Echelon (B)* 26,650 667 EFJ* 117,900 684 Emergis (Canada) (J)* 299,400 2,103 EMS Technologies* 38,700 949 Emulex (B)* 97,200 1,863 Epicor Software* 156,400 2,154 EPIQ Systems (B)* 102,380 1,927 Equinix (B)* 37,377 3,315 Euronet Worldwide (B)* 73,610 2,191 Factset Research Systems 20,470 1,403 FalconStor Software* 102,255 1,232 Greenfield Online* 8,259 126 Harris Stratex Networks, Cl A (B)* 79,600 1,391 Heartland Payment Systems (B) 11,600 298 Hittite Microwave* 31,865 1,407 Hutchinson Technology* 89,900 2,212 Imation 93,200 2,286 Imergent (B) 30,800 691 Immersion (B)* 63,900 1,047 Infinera (B)* 26,161 527 Informatica (B)* 123,300 1,936 InterDigital* 136,600 2,839 IPG Photonics* 119,200 2,344 Jack Henry & Associates (B) 95,800 2,477 JDA Software Group* 162,700 3,361 Jupitermedias* 220,000 1,393 Knot (B)* 19,600 417 Liquidity Services* 43,476 478 LoJack* 115,544 2,191 LTX* 223,082 796 Magma Design Automation* 14,646 206 Manhattan Associates (B)* 64,899 1,779 Mantech International, Cl A* 53,500 1,925 Marchex, Cl B (B) 93,500 889 Mentor Graphics (B)* 159,100 2,402 Mercadolibre (B)* 59,359 2,174 Methode Electronics 59,821 900 Micros Systems* 18,900 1,230 Microsemi (B)* 300,673 8,383 MicroStrategy, Cl A* 23,089 1,832 MIPS Technologies (B)* 260,300 2,056 Monolithic Power Systems* 59,570 1,513 Navisite* 218,400 1,920 Net 1 UEPS Technologies (B)* 33,247 903 Netezza* 77,400 968 Netgear* 42,910 1,305 Netlogic Microsystems (B)* 31,304 1,130 Novatel* 49,500 1,943 Novatel Wireless (B)* 171,442 3,883 Nuance Communications (B)* 125,321 2,420 - -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) - -------------------------------------------------------------------------------- Omniture (B)* 127,300 $ 3,860 ON Semiconductor (B)* 382,360 4,802 OSI Systems* 60,900 1,371 Palm (B)* 161,000 2,620 Park Electrochemical 44,600 1,498 Parkervision (B)* 165,200 2,508 PC Connection* 68,900 861 Perfect World ADR* 40,200 1,098 Perficient (B)* 98,675 2,158 Photon Dynamics* 80,598 729 Plexus* 80,100 2,195 PLX Technology* 188,124 2,032 PMC - Sierra (B)* 260,200 2,183 Polycom (B)* 369,700 9,930 Power Integrations* 56,317 1,673 Powerwave Technologies (B)* 86,600 533 Presstek (B)* 73,522 461 Quality Systems (B) 12,621 462 Red Hat (B)* 461,400 9,168 RF Micro Devices (B)* 769,200 5,177 RightNow Technologies (B)* 44,052 709 Rudolph Technologies* 65,300 903 SAVVIS* 29,400 1,140 Seachange International* 228,000 1,578 Secure Computing* 171,100 1,665 ShoreTel* 155,900 2,233 Sigma Designs (B)* 50,069 2,415 Silicon Motion Technology ADR* 76,140 1,714 Silicon Storage Technology* 188,308 606 Sina (B)* 55,156 2,639 Sirf Technology Holdings (B)* 123,797 2,643 Skyworks Solutions (B)* 544,677 4,924 Smart Modular Technologies WWH* 4,500 32 Solera Holdings* 46,400 835 Sourcefire (B)* 45,300 411 SPSS* 28,540 1,174 Staktek Holdings* 60,910 210 Stratasys (B)* 38,970 1,074 Sybase (B)* 117,747 2,724 Symmetricom* 10,461 49 Synaptics* 29,045 1,387 Synchronoss Technologies (B)* 89,830 3,778 TAC Acquisition 293,800 1 Taleo, Cl A* 88,024 2,237 TechTarget* 18,700 316 Teradyne* 54,854 757 Terremark Worldwide* 158,600 1,137 THQ (B)* 202,294 5,053 Trina Solar ADR (B)* 44,300 2,524 Triquint Semiconductor* 333,900 1,639 TTM Technologies (B)* 195,100 2,257 Ultimate Software Group* 27,000 942 - -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Annual Report / September 30, 2007 93 SCHEDULE OF INVESTMENTS Small Cap Growth Fund (Concluded) September 30, 2007 - -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) - -------------------------------------------------------------------------------- United Online 60,800 $ 913 Universal Display (B)* 92,500 1,639 Valueclick* 55,222 1,240 Varian Semiconductor Equipment Associates (B)* 57,100 3,056 Vasco Data Security International (B)* 76,945 2,717 VeriFone Holdings (B)* 88,925 3,942 Verigy* 54,540 1,348 Viasat (B)* 39,490 1,218 Vignette* 91,389 1,834 Virtusa* 75,261 1,129 VistaPrint (B)* 64,915 2,426 Vocus* 55,200 1,614 Westell Technologies, Cl A* 38,870 92 Wind River Systems (B)* 427,000 5,026 Wright Express* 83,900 3,062 Zygo* 76,938 1,003 -------------- 300,562 -------------- MATERIALS -- 3.5% ADA-ES (B)* 27,400 340 AK Steel Holding* 14,900 655 Buckeye Technologies* 72,015 1,090 Carpenter Technology 13,800 1,794 Celanese, Ser A 6,455 252 CF Industries Holdings 2,175 165 Cincinnati Bell* 181,087 894 Cleveland-Cliffs (B) 26,816 2,359 First Quantum Minerals (Canada) (J) 26,600 2,613 Frontera Copper (Canada) (J)* 194,000 1,283 Graphic Packaging* 40,430 183 Greif, Cl A (B) 29,150 1,769 Haynes International* 28,700 2,450 Hercules 191,935 4,034 Horsehead Holding (B)* 106,484 2,387 Innospec 41,248 940 Katanga Mining (Canada) (J)* 103,200 1,797 Koppers Holdings 37,920 1,464 Metal Management 22,970 1,245 Rock-Tenn, Cl A 32,821 948 Schnitzer Steel Industries, Cl A (B) 14,100 1,033 Schweitzer-Mauduit International 32,059 747 Sherritt International (Canada) (J) 174,100 2,789 Spartech 32,627 557 Steel Dynamics (B) 46,900 2,190 Terra Industries* 72,252 2,259 Wheeling-Pittsburgh (B)* 138,700 2,677 -------------- 40,914 -------------- TELECOMMUNICATION SERVICES -- 2.5% Atlantic Tele-Network 4,400 160 Cbeyond (B)* 43,998 1,795 - -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) - -------------------------------------------------------------------------------- Centennial Communications* 120,571 $ 1,220 CenturyTel 5,564 257 Clearwire, Cl A (B)* 131,100 3,204 Cogent Communications Group* 40,400 943 Fairpoint Communications (B) 165,500 3,121 NeuStar, Cl A* 69,498 2,383 NTELOS Holdings 143,360 4,223 Premiere Global Services* 96,900 1,226 Rural Cellular, Cl A* 22,148 964 SBA Communications, Cl A (B)* 146,370 5,164 SureWest Communications 2,831 71 Syniverse Holdings* 103,900 1,652 Time Warner Telecom, Cl A (B)* 92,185 2,025 USA Mobility 43,795 739 -------------- 29,147 -------------- UTILITIES -- 1.1% AGL Resources 22,712 900 Atmos Energy 30,233 856 Black Hills 22,506 923 Cia de Saneamento de Minas Gerais-COPASA (Brazil) (J)* 91,000 1,484 ITC Holdings 36,208 1,794 Ormat Technologies (B) 69,400 3,216 PNOC Energy Development (Philippines) (J)* 10,767,000 1,530 Portland General Electric 20,973 583 Southwest Gas 16,811 476 WGL Holdings 25,179 853 -------------- 12,615 -------------- Total Common Stock (Cost $1,010,757) ($ Thousands) 1,133,972 -------------- EXCHANGE TRADED FUND -- 0.1% iShares Russell 2000 Growth Index Fund 15,078 1,284 -------------- Total Exchange Traded Fund (Cost $1,246) ($ Thousands) 1,284 -------------- Number of Warrants ------------- WARRANTS -- 0.0% Parkervision, Deal #2 (D) (G) (I)* 17,500 108 Rentech, Expires 04/25/12 (D) (G)* 19,400 11 Titanium Asset Management, Expires 06/21/11* 147,800 157 Victory Acquisition, Expires 04/24/11* 50,032 68 -------------- Total Warrants (Cost $103) ($ Thousands) 344 -------------- - -------------------------------------------------------------------------------- 94 SEI Institutional Managed Trust / Annual Report / September 30, 2007 - -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands)/Shares ($ Thousands) - -------------------------------------------------------------------------------- CORPORATE OBLIGATION (C) (F) -- 0.5% FINANCIALS -- 0.5% SLM EXL, Ser S 5.763%, 10/15/07 $ 6,428 $ 6,428 -------------- Total Corporate Obligation (Cost $6,428) ($ Thousands) 6,428 -------------- ASSET-BACKED SECURITY (C) (F) (H) -- 0.4% MORTGAGE RELATED SECURITY -- 0.4% Duke Funding, Ser 2004-6B, Cl A1S1 5.430%, 10/09/07 4,383 4,383 -------------- Total Asset-Backed Security (Cost $4,383) ($ Thousands) 4,383 -------------- CONVERTIBLE BOND -- 0.2% Nova BioSource CV to 273.2240 10.000%, 09/30/12 1,926 1,926 -------------- Total Convertible Bond (Cost $1,926) ($ Thousands) 1,926 -------------- CASH EQUIVALENTS** -- 34.4% Merrill Lynch EBP Master, 4.035% 1,797,676 1,798 SEI Daily Income Trust, Prime Obligation Fund, Cl A, 5.350% ++ 27,133,093 27,133 SEI Liquidity Fund LP, 5.367% ++ (C) 372,099,060 372,099 -------------- Total Cash Equivalents (Cost $401,030) ($ Thousands) 401,030 -------------- U.S. TREASURY OBLIGATION (A) (E) -- 0.1% U.S. Treasury Bills 4.078%, 11/23/07 650 646 -------------- Total U.S. Treasury Obligation (Cost $646) ($ Thousands) 646 -------------- Total Investments -- 133.2% (Cost $1,426,519) ($ Thousands) $ 1,550,013 ============== A summary of the open futures contracts held by the Fund at September 30, 2007, is as follows (see Note 2 in Notes to Financial Statements): - -------------------------------------------------------------------------------- NUMBER OF UNREALIZED TYPE OF CONTRACTS EXPIRATION APPRECIATION CONTRACT LONG (SHORT) DATE ($ THOUSANDS) - -------------------------------------------------------------------------------- Russell 2000 Index E-MINI 137 Dec-2007 $ 324 ====== Percentages are based on Net Assets of $1,163,323 ($ Thousands). * Non-Income Producing Security. ** Rate shown is the 7-day effective yield as of September 30, 2007. +++ Narrow industries are utilized for compliance purposes, whereas broad sectors are utilized for reporting. + Real Estate Investment Trust. ++ Investment in Affiliated Security (see Note 3). (A) Security, or portion thereof, has been pledged as collateral on open futures contracts. (B) This security or a partial position of this security is on loan at September 30, 2007 (see Note 7). The total market value of securities on loan at September 30, 2007 was $367,102 ($ Thousands). (C) This security was purchased with cash collateral held from securities on loan (see Note 7). The total market value of such securities as of September 30, 2007 was $382,910 ($ Thousands). (D) This security considered illiquid and restricted. The total market value of such securities as of September 30, 2007 was $12,301 ($ Thousands) and represented 1.06% of Net Assets. (E) The rate reported is the effective yield at time of purchase. (F) Variable Rate Security -- The rate reported on the Schedule of Investments is the rate in effect as of September 30, 2007. (G) Security fair valued using methods determined in good faith by the Valuation Committee of the Board of Trustees. The total market value of such securities as of September 30, 2007 was $12,301 ($ Thousands) and represented 1.06% of Net Assets. (H) Securities sold within terms of a private placement memorandum, exempt from registration under Section 144A of the Securities Act of 1933, as amended, and may be sold only to dealers in that program or other "accredited investors." These securities have been determined to be liquid under guidelines established by the Board of Trustees. (I) This warrant does not have a strike price or expiration date. (J) This security is traded on a foreign stock exchange. The total market value of such securities as of September 30, 2007 was $48,995 ($ Thousands) and represented 4.21% of Net Assets. ADR -- American Depositary Receipt Cl -- Class CV -- Convertible Security EXL -- Extendable Maturity LP -- Limited Partnership Ltd. -- Limited PIPE -- Private Investment in Public Entity Ser -- Series The accompanying notes are an integral part of the financial statements. - -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Annual Report / September 30, 2007 95 SCHEDULE OF INVESTMENTS Tax-Managed Small Cap Fund September 30, 2007 - -------------------------------------------------------------------------------- SECTOR WEIGHTINGS# (UNAUDITED): [THE FOLLOWING TABLE WAS REPRESENTED BY A BAR CHART IN THE PRINTED MATERIAL.] 23.8% Short-Term Investments 16.0% Information Technology 12.6% Financials 11.5% Industrials 10.8% Consumer Discretionary 9.3% Health Care 4.7% Energy 4.4% Materials 2.9% Utilities 2.5% Consumer Staples 1.4% Telecommunication Services 0.1% U.S. Treasury Obligation 0.0% Warrants #Percentages based on total investments. Includes investments held as collateral for securities on loan (see Note 7). - -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) - -------------------------------------------------------------------------------- COMMON STOCK -- 96.3% CONSUMER DISCRETIONARY -- 13.6% 99 Cents Only Stores* 7,100 $ 73 Aaron Rents 1,200 27 Abercrombie & Fitch, Cl A 2,269 183 Advance Auto Parts 9,900 332 Aeropostale* 1,500 29 American Eagle Outfitters 13,050 343 American Greetings, Cl A 19,200 507 AnnTaylor Stores* 3,000 95 Applebee's International* 1,900 47 Arbitron 800 36 ArvinMeritor 18,300 308 Autoliv 17,900 1,070 Autonation* 10,115 179 Bally Technologies* 3,600 128 Barnes & Noble 3,200 113 Beazer Homes USA (B) 6,200 51 Belo, Cl A 27,500 477 Big Lots (B)* 24,680 736 Black & Decker 11,000 916 Blyth 3,024 62 Bob Evans Farms 800 24 Bon-Ton Stores (B) 9,300 211 Borders Group (B) 24,400 325 BorgWarner 3,900 357 Bright Horizons Family Solutions (B)* 900 39 Brown Shoe 2,132 41 Brunswick 18,300 418 Cabela's (B)* 2,400 57 Cablevision Systems, Cl A* 8,820 308 Callaway Golf 2,200 35 Career Education* 1,100 31 Carmax* 4,400 89 Carter's* 6,300 126 Catalina Marketing* 1,300 42 Cato, Cl A (B) 32,150 657 - -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) - -------------------------------------------------------------------------------- CBRL Group (B) 10,700 $ 437 CEC Entertainment* 1,200 32 Champion Enterprises (B)* 4,000 44 Charming Shoppes* 5,300 45 Cherokee (B) 900 35 Childrens Place Retail Stores* 3,000 73 Chipotle Mexican Grill, Cl A (B)* 13,000 1,536 CKX (B)* 2,800 34 Coach* 21,700 1,026 Coinstar* 1,800 58 Collective Brands* 2,900 64 Columbia Sportswear 4,400 243 Cooper Tire & Rubber 14,845 362 Corinthian Colleges (B)* 29,215 465 CROCS (B)* 53,050 3,568 Dana 89,500 17 Darden Restaurants 9,500 398 Denny's* 7,750 31 Dick's Sporting Goods (B)* 800 54 Discovery Holding, Cl A* 1,700 49 Dollar Tree Stores* 4,700 191 Domino's Pizza 2,000 33 Dover Motorsports 22,500 146 DreamWorks Animation SKG, Cl A* 6,875 230 Dress Barn* 2,000 34 Drew Industries* 1,300 53 DSW, Cl A (B)* 1,300 33 Eastman Kodak 3,700 99 Entercom Communications 7,600 147 Ethan Allen Interiors (B) 700 23 Fisher Communications* 600 30 Ford Motor 843 7 Fossil* 1,300 49 GameStop, Cl A* 2,206 124 Gaylord Entertainment* 2,100 112 Gemstar-TV Guide International* 8,500 59 Getty Images* 2,047 57 Goodyear Tire & Rubber (B)* 22,707 691 Great Wolf Resorts (B)* 2,400 30 Group 1 Automotive 3,100 104 GSI Commerce (B)* 2,700 72 Guess? (B) 10,630 521 Guitar Center (B)* 700 42 Handleman (B) 13,300 41 Harman International Industries 677 59 Hasbro 19,700 549 Hearst-Argyle Television 4,500 117 Home Solutions of America* 1,025 4 Hooker Furniture 1,800 36 IAC/InterActive* 6,425 191 Iconix Brand Group (B)* 1,600 38 IHOP (B) 1,900 120 Interactive Data 900 25 - -------------------------------------------------------------------------------- 96 SEI Institutional Managed Trust / Annual Report / September 30, 2007 - -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) - -------------------------------------------------------------------------------- ITT Educational Services (B)* 5,314 $ 647 J Crew Group* 6,300 261 Jackson Hewitt Tax Service (B) 6,977 195 Jakks Pacific (B)* 16,800 449 Jarden* 19,689 609 Jones Apparel Group 21,722 459 Journal Communications, Cl A 27,300 259 Lamar Advertising, Cl A (B) 1,400 69 Landry's Restaurants 2,200 58 Leapfrog Enterprises* 36,938 305 Lear* 15,700 504 Lee Enterprises 8,800 137 Life Time Fitness (B)* 15,200 932 Limited Brands 25,700 588 Live Nation* 3,100 66 LKQ (B)* 36,200 1,260 Lodgenet Entertainment* 800 20 Lodgian* 2,300 27 Lululemon Athletica (B)* 3,200 135 Martha Stewart Living Omnimedia, Cl A (B) 44,200 515 Marvel Entertainment (B)* 8,500 199 Matthews International, Cl A 3,400 149 McClatchy, Cl A (B) 3,900 78 Mediacom Communications, Cl A* 9,900 70 Men's Wearhouse 19,785 1,000 Meredith 1,700 97 Mestek* 2,100 29 Modine Manufacturing (B) 13,800 367 Morgans Hotel Group* 28,600 622 Morningstar (B)* 4,100 252 Movado Group 1,100 35 National CineMedia 1,600 36 NetFlix (B)* 1,900 39 New Oriental Education & Technology Group ADR* 4,400 293 Nutri/System (B)* 11,600 544 NVR (B)* 700 329 O'Reilly Automotive* 1,600 53 Orient-Express Hotels, Cl A (B) 17,000 872 Oxford Industries 800 29 Pacific Sunwear of California* 2,400 36 Panera Bread, Cl A (B)* 600 25 Papa John's International* 1,400 34 Penn National Gaming* 3,700 218 Penske Auto Group 600 12 PEP Boys - Manny Moe & Jack 4,400 62 PetSmart 22,000 702 PF Chang's China Bistro (B)* 1,500 44 Phillips-Van Heusen (B) 17,875 938 Pier 1 Imports (B)* 42,200 200 Pinnacle Entertainment* 25,961 707 Polaris Industries (B) 8,700 380 - -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) - -------------------------------------------------------------------------------- Polo Ralph Lauren 4,400 $ 342 Pre-Paid Legal Services (B)* 800 44 priceline.com (B)* 13,075 1,160 Quiksilver (B)* 212,100 3,033 R.H. Donnelley* 3,657 205 RadioShack 1,900 39 Rare Hospitality International* 700 27 Raser Technologies (B)* 6,400 83 Regal Entertainment Group, Cl A (B) 17,645 387 Rent-A-Center* 14,986 272 Ross Stores 900 23 Ruby Tuesday 36,200 664 Ryland Group (B) 7,800 167 Saks 19,240 330 Sally Beauty Holdings* 30,625 259 Sauer-Danfoss 3,611 96 Scholastic (B)* 16,500 575 Scientific Games, Cl A (B)* 15,700 590 Sealy 2,800 39 Service International 3,400 44 Sirius Satellite Radio* 7,866 27 Skechers U.S.A., Cl A* 2,500 55 Smith & Wesson Holding* 575 11 Snap-On 6,615 328 Sonic* 2,100 49 Sonic Automotive, Cl A 14,200 340 Sotheby's Holdings (B) 9,850 471 Speedway Motorsports 1,300 48 Stage Stores 3,900 71 Station Casinos 2,400 210 Stewart Enterprises, Cl A 6,300 48 Strayer Education 600 101 Sun-Times Media Group, Cl A 2,425 6 Talbots (B) 29,635 533 Tempur-Pedic International (B) 2,300 82 Texas Roadhouse, Cl A (B)* 3,900 46 Thor Industries (B) 600 27 Tiffany 12,400 649 Tractor Supply (B)* 400 18 TravelCenters of America LLC (B)* 1,420 46 Triarc, Cl B 2,500 31 TRW Automotive Holdings* 19,323 612 Tupperware Brands 1,400 44 Tween Brands* 1,400 46 Under Armour, Cl A (B)* 22,855 1,367 Universal Electronics* 11,130 362 Urban Outfitters* 50,700 1,105 Vail Resorts (B)* 1,400 87 Virgin Media 210 5 Visteon* 16,950 87 Volcom (B)* 12,700 540 Warnaco Group* 1,210 47 Warner Music Group (B) 41,900 423 - -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Annual Report / September 30, 2007 97 SCHEDULE OF INVESTMENTS Tax-Managed Small Cap Fund (Continued) September 30, 2007 - -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) - -------------------------------------------------------------------------------- Weight Watchers International 4,933 $ 284 Whirlpool 8,500 757 Williams-Sonoma (B) 4,900 160 WMS Industries* 10,450 346 Wynn Resorts (B) 5,800 914 XM Satellite Radio Holdings, Cl A* 9,130 129 Zale* 1,000 23 Zumiez (B)* 19,400 861 -------------- 56,831 -------------- CONSUMER STAPLES -- 3.2% American Italian Pasta, Cl A (B) 6,300 52 American Oriental Bioengineering (B)* 25,100 280 Andersons 1,354 65 Avon Products 4,502 169 Bare Escentuals (B)* 14,600 363 BJ's Wholesale Club (B)* 40,300 1,336 Boston Beer, Cl A (B)* 800 39 Bunge 573 62 Casey's General Stores 900 25 Central Garden and Pet, Cl A* 2,241 20 Chattem (B)* 7,865 555 Church & Dwight 4,600 216 Corn Products International 3,114 143 Dean Foods 1,400 36 Diamond Foods 1,900 39 Elizabeth Arden* 8,362 225 Flowers Foods 1,650 36 Hain Celestial Group (B)* 19,400 623 Imperial Sugar 179 5 Lance 1,600 37 Longs Drug Stores 700 35 McCormick 15,200 547 Molson Coors Brewing, Cl B 21,718 2,165 Nash Finch (B) 11,300 450 NBTY* 1,200 49 Pathmark Stores* 3,100 40 Pepsi Bottling Group 25,100 933 PepsiAmericas 30,100 976 Pilgrim's Pride 23,550 818 Playtex Products* 3,500 64 Prestige Brands Holdings* 4,600 50 Pricesmart 1,600 38 Ralcorp Holdings* 1,100 61 Revlon, Cl A* 26,875 31 Rite Aid (B)* 6,700 31 Ruddick 18,400 617 Sanderson Farms 1,200 50 Seaboard 89 174 Supervalu 20,900 815 TreeHouse Foods* 1,400 38 - -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) - -------------------------------------------------------------------------------- Tyson Foods, Cl A 2,400 $ 43 United Natural Foods (B)* 7,000 191 Universal (B) 6,830 334 Village Super Market, Cl A (B) 3,400 177 WD-40 900 31 Weis Markets 500 21 Whole Foods Market (B) 1,500 73 -------------- 13,178 -------------- ENERGY -- 6.0% Alon USA Energy 5,610 189 Arch Coal (B) 1,971 66 Arena Resources* 325 21 ATP Oil & Gas (B)* 8,900 419 Atwood Oceanics (B)* 600 46 Basic Energy Services* 25 1 Berry Petroleum, Cl A 3,400 135 Bill Barrett (B)* 1,000 39 Bristow Group (B)* 1,800 79 Cal Dive International (B)* 30,900 463 Cameron International* 13,325 1,230 CARBO Ceramics (B) 1,100 56 Carrizo Oil & Gas* 150 7 Cheniere Energy (B)* 1,700 67 Compagnie Generale de Geophysique-Veritas ADR (B)* 18,200 1,185 Consol Energy 1,727 80 Continental Resources* 3,700 67 Core Laboratories* 5,115 652 Crosstex Energy 3,185 121 Delek US Holdings (B) 1,800 45 Delta Petroleum (B)* 2,000 36 Denbury Resources* 1,000 45 Dresser-Rand Group* 29,275 1,250 Dril-Quip* 16,005 790 Encore Acquisition* 1,400 44 ENGlobal* 1,290 15 EOG Resources 800 58 EXCO Resources* 2,200 36 Exterran Holdings (B)* 6,801 546 FMC Technologies (B)* 24,340 1,403 Forest Oil* 2,359 102 Foundation Coal Holdings (B) 12,850 504 General Maritime (B) 2,500 70 Global Industries* 31,900 822 Golar (B) 2,900 65 Grant Prideco (B)* 39,000 2,126 Gulf Island Fabrication (B) 1,200 46 Gulfmark Offshore* 1,000 49 Harvest Natural Resources (B)* 2,600 31 Helix Energy Solutions Group (B)* 19,900 845 Helmerich & Payne 1,300 43 - -------------------------------------------------------------------------------- 98 SEI Institutional Managed Trust / Annual Report / September 30, 2007 - -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) - -------------------------------------------------------------------------------- Hercules Offshore* 1,900 $ 50 Hess 25,800 1,716 Holly 7,725 462 Hugoton Royalty Trust 3,150 74 ION Geophysical (B)* 48,800 675 Lufkin Industries 1,100 61 Mariner Energy* 3,274 68 Massey Energy 2,469 54 McMoRan Exploration* 1,710 23 NATCO Group, Cl A* 174 9 National Oilwell Varco (B)* 2,100 303 Newfield Exploration* 7,200 347 Occidental Petroleum 2,856 183 Oceaneering International* 4,975 377 Oil States International* 1,300 63 Parker Drilling* 2,500 20 Patterson-UTI Energy 41,100 928 Peabody Energy 2,400 115 PetroHawk Energy (B)* 25,500 419 Petroleum Development (B)* 2,550 113 Plains Exploration & Production (B)* 2,725 120 Range Resources (B) 4,100 167 Rentech* 24,848 54 Rosetta Resources* 3,100 57 RPC 3,375 48 Southwestern Energy* 8,500 356 Stone Energy* 2,400 96 Sunoco 11,600 821 Superior Energy Services* 1,100 39 Swift Energy* 16,400 671 Tesoro 34,754 1,599 Tetra Technologies* 4,650 98 Transmontaigne Partners LP 500 16 Ultra Petroleum* 900 56 Unit* 6,825 330 US BioEnergy (B)* 12,100 93 Vaalco Energy* 1,800 8 VeraSun Energy (B)* 3,300 36 Verenium (B)* 10,400 55 W&T Offshore 1,850 45 W-H Energy Services* 900 66 Western Refining 350 14 Whiting Petroleum* 1,000 44 Willbros Group (B)* 1,900 65 Williams 2,485 85 -------------- 24,993 -------------- FINANCIALS -- 15.9% 1st Source 440 10 A.G. Edwards 2,900 243 Abington Bancorp 3,900 38 Acadia Realty Trust+ 1,200 33 - -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) - -------------------------------------------------------------------------------- Advance America Cash Advance Centers 2,900 $ 31 Affiliated Managers Group (B)* 29,590 3,773 Agree Realty+ 1,700 53 Alexander's+* 100 39 Alexandria Real Estate Equities+ 6,400 616 Alfa 1,200 22 AllianceBernstein Holding LP 332 29 Allied Capital (B) 800 24 AMB Property+ 3,900 233 AmCOMP* 51,900 490 American Capital Strategies (B) 800 34 American Financial Group (B) 33,300 950 American Financial Realty Trust+ 6,700 54 American Home Mortgage Investment+ 7,208 3 American National Insurance (B) 500 66 AmeriCredit* 25,300 445 Amtrust Financial Services 2,200 33 Annaly Capital Management+ (B) 27,255 434 AON 8,850 397 Apartment Investment & Management, Cl A+ 300 14 Ares Capital 4,700 76 Ashford Hospitality Trust+ 47,300 475 Aspen Insurance Holdings 11,500 321 Astoria Financial (B) 24,300 645 AvalonBay Communities+ 2,700 319 BancFirst 700 31 Bancorpsouth (B) 23,200 564 Bank Mutual 1,700 20 Bank of Hawaii 6,300 333 Bear Stearns 1,000 123 BioMed Realty Trust+ 1,400 34 BlackRock 1,071 186 Blackstone Group LP* 47,300 1,186 Boston Private Financial Holdings (B) 1,100 31 BRE Properties, Cl A+ 400 22 Capital Lease Funding+ 2,500 26 Capital One Financial 1,210 80 Capital Trust, Cl A+ (B) 500 18 Capitol Federal Financial 300 10 CB Richard Ellis Group, Cl A* 15,830 441 Central Pacific Financial 2,300 67 Charter Financial (B) 1,100 59 CIT Group 19,400 780 Citizens Republic Bancorp 7,200 116 City Bank 1,432 41 City National 500 35 Clifton Savings Bancorp (B) 9,700 115 CME Group 479 281 CNA Surety* 3,000 53 - -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Annual Report / September 30, 2007 99 SCHEDULE OF INVESTMENTS Tax-Managed Small Cap Fund (Continued) September 30, 2007 - -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) - -------------------------------------------------------------------------------- Colonial BancGroup 57,470 $ 1,243 Commerce Bancorp (B) 700 27 Commerce Bancshares (B) 1,983 91 Community Bank System (B) 14,000 273 Community Banks 735 22 CompuCredit* 3,625 79 Corporate Office Properties Trust+ (B) 8,900 371 Cousins Properties+ (B) 4,100 120 Crawford, Cl B 16,500 105 Cullen/Frost Bankers 15,100 757 CVB Financial 3,100 36 Delphi Financial Group, Cl A 600 24 DiamondRock Hospitality+ 1,600 28 Discover Financial Services* 5,650 118 Dollar Financial* 200 6 Downey Financial (B) 500 29 Duke Realty+ 900 30 E*Trade Financial* 98,500 1,286 East West Bancorp 11,900 428 Eaton Vance 17,129 684 EMC Insurance Group 3,120 81 Employers Holdings 5,600 115 Endurance Specialty Holdings 10,698 445 Entertainment Properties Trust+ 800 41 Equity Lifestyle Properties+ 700 36 Everest Re Group 8,700 959 Extra Space Storage+ (B) 10,200 157 FCStone Group (B)* 1,500 48 Federal Agricultural Mortgage, Cl C (B) 17,000 499 Federal Realty Investment Trust+ 300 27 Federated Investors, Cl B 20,100 798 Financial Federal (B) 1,000 28 Financial Institutions 2,200 40 First American 25,300 926 First Bancorp Puerto Rico (B) 6,300 60 First Busey (B) 900 20 First Cash Financial Services (B)* 40,700 953 First Commonwealth Financial (B) 10,000 111 First Community Bancorp 600 33 First Financial Bankshares (B) 1,500 60 First Industrial Realty Trust+ 109 4 First Marblehead (B) 1,950 74 First Mercury Financial* 12,282 264 First Midwest Bancorp 12,300 420 First Niagara Financial Group 61,700 873 FirstMerit 3,300 65 Flagstar Bancorp (B) 8,600 84 Flagstone Reinsurance Holdings 4,400 58 FNB (Pennsylvania) (B) 9,600 159 FNB (Virginia) (B) 400 12 Forest City Enterprises, Cl A 6,280 346 - -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) - -------------------------------------------------------------------------------- Fortress Investment Group LLC (B) 35,700 $ 761 Franklin Street Properties+ (B) 6,900 119 Friedman Billings Ramsey Group, Cl A+ 20,100 93 Frontier Financial (B) 10,500 245 Fulton Financial 9,450 136 Getty Realty+ (B) 4,400 120 GFI Group* 2,200 189 Glacier Bancorp 1,350 30 Glimcher Realty Trust+ (B) 7,200 169 Gramercy Capital+ (B) 2,200 55 Greenhill (B) 11,000 672 Greenlight Capital Re (B)* 3,100 63 Hancock Holding 500 20 Hanover Insurance Group (B) 19,900 879 Harleysville Group 3,500 112 Healthcare Realty Trust+ 3,100 83 Hersha Hospitality Trust+ 2,900 29 Highwoods Properties+ 600 22 Hilltop Holdings+* 3,600 42 Home Bancshares (B) 15,100 329 Home Properties+ 1,200 63 Horace Mann Educators 3,500 69 Hospitality Properties Trust+ 23,100 939 Host Hotels & Resorts+ 28,400 637 HRPT Properties Trust+ (B) 64,000 633 Hudson City Bancorp 5,600 86 Huntington Bancshares (B) 34,000 577 Inland Real Estate+ (B) 7,000 108 IntercontinentalExchange* 3,910 594 International Securities Exchange Holdings 700 47 Investment Technology Group* 1,300 56 Investors Real Estate Trust+ (B) 3,100 33 iStar Financial+ 5,900 201 Janus Capital Group 1,800 51 Jefferies Group (B) 34,200 952 Jones Lang LaSalle 2,300 236 KBW (B)* 15,200 437 Kilroy Realty+ 400 24 KKR Financial Holdings (B) 17,500 295 Knight Capital Group, Cl A* 2,300 28 LandAmerica Financial Group (B) 13,800 538 LaSalle Hotel Properties+ 7,500 316 Lazard, Cl A (B) 7,750 329 Legg Mason 358 30 Leucadia National 1,875 90 Lexington Realty Trust+ (B) 3,800 76 Luminent Mortgage Capital+ (B) 52,700 88 Macerich+ 400 35 Maguire Properties+ 1,750 45 Markel* 500 242 - -------------------------------------------------------------------------------- 100 SEI Institutional Managed Trust / Annual Report / September 30, 2007 - -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) - -------------------------------------------------------------------------------- MarketAxess Holdings (B)* 2,700 $ 41 Marsh & McLennan 14,568 371 Marshall & Ilsley 2,145 94 Max Capital 2,000 56 MCG Capital (B) 56,200 809 Merrill Lynch 513 37 Meruelo Maddux Properties (B)* 84,000 496 MFA Mortgage Investments+ 4,000 32 MGIC Investment (B) 9,115 295 Midland 1,000 55 Mid-America Apartment Communities+ (B) 1,300 65 Move (B)* 143,255 395 MVC Capital (B) 31,900 591 Nara Bancorp (B) 900 14 NASDAQ Stock Market (B)* 24,500 923 National City 2,791 70 National Financial Partners (B) 6,207 329 National Health Investors+ 1,300 40 National Health Realty+ 1,600 37 National Penn Bancshares 5,400 88 National Retail Properties+ (B) 17,700 432 National Western Life Insurance, Cl A 100 26 Nationwide Financial Services, Cl A (B) 24,342 1,310 Nationwide Health Properties+ 400 12 Navigators Group* 4,838 262 NBT Bancorp (B) 3,100 67 Nelnet, Cl A 2,025 37 New York Community Bancorp 6,048 115 Newcastle Investment+ (B) 6,700 118 NexCen Brands* 2,575 17 NorthStar Realty Finance+ 10,300 102 Northwest Bancorp (B) 1,100 31 Novastar Financial 22,400 199 Nuveen Investments, Cl A 2,500 155 NYSE Euronext 1,150 91 Old National Bancorp (B) 24,900 413 Old Republic International 31,875 597 Omega Healthcare Investors+ 7,100 110 One Liberty Properties+ (B) 1,500 29 optionsXpress Holdings (B) 3,800 99 Pacific Capital Bancorp 796 21 Park National (B) 1,200 105 Parkway Properties+ 600 26 PartnerRe 700 55 PennantPark Investment 27,400 367 People's United Financial (B) 41,965 725 Phoenix 3,700 52 Pico Holdings* 800 33 Piper Jaffray* 14,500 777 Platinum Underwriters Holdings 11,600 417 PMI Group 11,000 360 - -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) - -------------------------------------------------------------------------------- PNC Financial Services Group 292 $ 20 Popular (B) 23,100 284 Portfolio Recovery Associates (B) 14,200 754 Post Properties+ 600 23 Potlatch 900 41 ProAssurance (B)* 3,700 199 PS Business Parks+ 1,400 80 Public Storage+ 2,434 191 Radian Group (B) 16,300 379 RAIT Financial Trust+ (B) 26,600 219 Ramco-Gershenson Properties+ 1,000 31 Rayonier+ (B) 2,850 137 Realty Income+ (B) 7,400 207 Redwood Trust+ 1,100 37 Reinsurance Group of America 5,325 302 Republic Property Trust+ (B) 2,800 41 S&T Bancorp (B) 900 29 Safeco 15,000 918 Saul Centers+ (B) 1,300 67 SL Green Realty+ 2,600 304 Sovran Self Storage+ 800 37 St. Joe 13,051 439 Stancorp Financial Group 8,800 436 State Auto Financial 1,400 41 State Street 3,895 265 Sterling Bancshares 34,850 398 Sterling Financial, Washington Shares 17,402 468 Stewart Information Services 2,900 99 Strategic Hotels & Resorts+ 3,500 72 Sun Communities+ (B) 3,900 117 Sunstone Hotel Investors+ 23,200 595 Susquehanna Bancshares 3,700 74 SVB Financial Group* 1,300 62 T. Rowe Price Group 1,091 61 Tanger Factory Outlet Centers+ 900 37 TCF Financial (B) 35,300 924 TD Ameritrade Holding* 10,579 193 Tejon Ranch* 2,100 87 Thomas Weisel Partners Group* 19,100 277 Toronto-Dominion Bank 1,493 114 TradeStation Group* 22,600 264 Transatlantic Holdings 593 42 Trico Bancshares 547 12 Trustco Bank (B) 5,600 61 Trustmark (B) 1,400 39 U-Store-It Trust+ (B) 11,000 145 UDR+ (B) 700 17 UnionBanCal 14,300 835 United Bankshares (B) 13,100 399 Unitrin 7,600 377 Universal American Financial* 3,400 78 Universal Health Realty Income Trust+ 300 11 - -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Annual Report / September 30, 2007 101 SCHEDULE OF INVESTMENTS Tax-Managed Small Cap Fund (Continued) September 30, 2007 - -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) - -------------------------------------------------------------------------------- UnumProvident 45,296 $ 1,108 Valley National Bancorp (B) 4,851 108 Ventas+ 1,400 58 Waddell & Reed Financial, Cl A 1,000 27 Washington Federal 1,800 47 Washington Mutual 2,762 98 Washington Real Estate Investment Trust+ (B) 1,600 53 Webster Financial (B) 3,200 135 Westamerica Bancorporation 157 8 Western Alliance Bancorp* 3,200 75 Westfield Financial (B) 2,625 26 Whitney Holding (B) 26,500 699 Wilmington Trust 1,900 74 Wintrust Financial (B) 6,146 262 Zions Bancorporation 250 17 -------------- 66,260 -------------- HEALTH CARE -- 11.8% Abaxis* 2,200 49 Abraxis BioScience (B)* 53,912 1,231 Acadia Pharmaceuticals* 15,600 235 Accelrys (B)* 46,500 319 Adams Respiratory Therapeutics* 1,930 74 Advanced Medical Optics (B)* 24,200 740 Affymetrix (B)* 59,800 1,517 Air Methods* 1,783 82 Albany Molecular Research* 3,100 47 Alexion Pharmaceuticals (B)* 1,400 91 Align Technology (B)* 7,865 199 Alkermes* 69,700 1,282 Allscripts Healthcare Solutions (B)* 1,700 46 Alpharma, Cl A 908 19 Amedisys* 10,870 418 American Medical Systems Holdings (B)* 6,000 102 AMERIGROUP* 1,620 56 Amylin Pharmaceuticals (B)* 2,400 120 Analogic 1,174 75 Angiotech Pharmaceuticals* 27,900 175 Applera -- Applied Biosystems Group 3,700 128 Applera -- Celera Group (B)* 31,100 437 Apria Healthcare Group (B)* 32,630 849 Arena Pharmaceuticals (B)* 3,300 36 Arrow International 1,900 86 Axcan Pharma (B)* 39,708 825 Barr Pharmaceuticals* 17,400 990 Bausch & Lomb 15,196 973 Beckman Coulter 500 37 Bio-Rad Laboratories, Cl A* 900 81 BioMarin Pharmaceuticals (B)* 24,700 615 - -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) - -------------------------------------------------------------------------------- Bruker BioSciences* 4,400 $ 39 Cambrex 32,900 358 Cell Genesys (B)* 77,400 296 Centene* 700 15 Cephalon (B)* 35,096 2,564 Cerner (B)* 400 24 Chemed 19,699 1,224 Community Health Systems (B)* 25,500 802 Computer Programs & Systems 720 19 Conmed* 1,300 36 Cooper (B) 27,835 1,459 Corvel* 618 14 Covance* 850 66 Coventry Health Care* 9,100 566 Cubist Pharmaceuticals (B)* 71,400 1,509 CV Therapeutics (B)* 66,100 594 Cytyc* 1,500 71 Dade Behring Holdings 500 38 Datascope 11,200 379 DaVita* 8,900 562 Dentsply International 5,600 233 Dionex* 500 40 Discovery Laboratories (B)* 26,400 71 DJO* 6,850 336 Eclipsys* 3,296 77 Edwards Lifesciences (B)* 4,000 197 Emeritus* 2,700 73 Encysive Pharmaceuticals* 14,825 22 Endo Pharmaceuticals Holdings* 15,340 476 Enzon Pharmaceuticals (B)* 2,600 23 eResearch Technology (B)* 48,998 558 ev3 (B)* 2,795 46 Exelixis* 4,800 51 Express Scripts* 9,050 505 Foxhollow Technologies (B)* 1,600 42 Gen-Probe* 700 47 Genitope (B)* 8,400 38 Genzyme* 3,952 245 Geron (B)* 25,400 186 Haemonetics* 700 35 Health Net (B)* 8,900 481 Healthsouth (B)* 3,300 58 Healthspring* 2,900 57 Healthways (B)* 3,500 189 Henry Schein* 300 18 Hi-Tech Pharmacal (B)* 3,000 36 Hillenbrand Industries 600 33 HLTH (B)* 10,770 153 Hologic (B)* 14,005 854 Human Genome Sciences* 10,100 104 Humana* 300 21 Idexx Laboratories (B)* 4,215 462 - -------------------------------------------------------------------------------- 102 SEI Institutional Managed Trust / Annual Report / September 30, 2007 - -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) - -------------------------------------------------------------------------------- Illumina (B)* 13,000 $ 674 Immucor (B)* 1,950 70 IMS Health 7,490 229 Indevus Pharmaceuticals* 5,975 41 Integra LifeSciences Holdings* 600 29 Intuitive Surgical* 975 224 Invacare 1,500 35 inVentiv Health* 1,000 44 Inverness Medical Innovations* 11,452 634 Invitrogen* 15,205 1,243 Isis Pharmaceuticals (B)* 3,900 58 Kendle International* 9,705 403 Kindred Healthcare* 3,127 56 King Pharmaceuticals* 22,600 265 KV Pharmaceutical, Cl A (B)* 1,900 54 Lifecell (B)* 20,100 755 LifePoint Hospitals* 800 24 Ligand Pharmaceuticals, Cl B (B) 5,600 30 Lincare Holdings (B)* 14,000 513 Magellan Health Services* 16,200 657 MannKind (B)* 3,700 36 Manor Care 9,800 631 Martek Biosciences* 11,300 328 Medarex (B)* 163,700 2,318 Medicis Pharmaceutical, Cl A (B) 21,500 656 Merit Medical Systems* 2,500 32 Metabolix (B)* 24,600 597 MGI Pharma* 2,400 67 Millennium Pharmaceuticals (B)* 3,700 38 Millipore (B)* 400 30 Myriad Genetics (B)* 29,370 1,532 Nektar Therapeutics (B)* 3,900 34 Neurocrine Biosciences (B)* 13,800 138 NuVasive* 1,600 57 Odyssey HealthCare* 889 9 Omnicare (B) 4,000 133 Omnicell* 1,531 44 Onyx Pharmaceuticals (B)* 2,700 117 Orthofix International* 635 31 OSI Pharmaceuticals (B)* 1,918 65 Owens & Minor 9,710 370 Par Pharmaceutical* 3,570 66 Parexel International (B)* 4,400 182 Patterson* 1,200 46 PDL BioPharma* 10,400 225 Pediatrix Medical Group (B)* 5,475 358 PerkinElmer 2,800 82 Perrigo 3,400 73 Pharmaceutical Product Development (B) 2,700 96 Pharmacopeia Drug Discovery (B)* 29,750 170 PharMerica (B)* 18,075 270 Pharmion* 1,700 78 - -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) - -------------------------------------------------------------------------------- Phase Forward* 3,300 $ 66 PolyMedica (B) 1,300 68 Protalix BioTherapeutics (B)* 2,600 90 PSS World Medical* 21,000 402 Psychiatric Solutions (B)* 16,705 656 Qiagen (B)* 9,779 190 Regeneron Pharmaceuticals* 26,900 479 Renovis* 10,300 40 Resmed* 4,740 203 Respironics* 218 10 Sciele Pharma (B)* 1,800 47 Sepracor* 9,300 256 Sirona Dental Systems* 4,075 145 Stereotaxis (B)* 1,900 26 STERIS 2,400 66 SurModics (B)* 1,100 54 Thermo Fisher Scientific (B)* 3,600 208 Thoratec (B)* 2,000 41 Trizetto Group* 2,800 49 United Therapeutics (B)* 15,700 1,045 Universal Health Services, Cl B 689 37 Varian* 700 45 Varian Medical Systems (B)* 1,000 42 VCA Antech* 800 33 Ventana Medical Systems* 1,500 129 Vertex Pharmaceuticals (B)* 1,400 54 Vital Signs 1,000 52 Vnus Medical Technologies (B)* 4,400 70 Volcano* 17,315 285 Waters* 1,500 100 Watson Pharmaceuticals* 27,800 901 Wright Medical Group* 2,900 78 Zoll Medical* 1,800 47 -------------- 49,297 -------------- INDUSTRIALS -- 14.6% AAON 1,500 30 ABX Air* 4,644 33 ACCO Brands* 13,080 294 Actuant, Cl A (B) 3,501 227 Advisory Board* 1,900 111 AGCO* 13,877 705 Airtran Holdings (B)* 5,600 55 Alaska Air Group (B)* 31,412 725 Albany International, Cl A (B) 19,359 726 Alexander & Baldwin 1,914 96 Allegiant Travel* 1,100 33 Alliant Techsystems* 563 62 Allied Waste Industries* 2,300 29 Altra Holdings* 13,800 230 Amerco* 316 20 American Commercial Lines* 2,637 63 - -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Annual Report / September 30, 2007 103 SCHEDULE OF INVESTMENTS Tax-Managed Small Cap Fund (Continued) September 30, 2007 - -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) - -------------------------------------------------------------------------------- American Ecology 31,000 $ 657 American Superconductor (B)* 2,800 57 Ameron International 400 42 Ametek 750 32 Ampco-Pittsburgh 8,000 315 AMR* 1,800 40 Angelica 1,400 28 AO Smith 12,441 546 Applied Industrial Technologies 1,050 32 Arkansas Best (B) 9,500 310 ASV* 472 7 Atlas Air Worldwide Holdings* 800 41 Badger Meter 125 4 Baldor Electric 2,100 84 Barnes Group 11,565 369 Basin Water (B)* 4,800 57 BE Aerospace (B)* 21,045 874 Blount International* 2,075 24 Bowne 20,900 348 Brady, Cl A 1,600 57 Briggs & Stratton (B) 18,150 457 Brink's 23,300 1,302 Bucyrus International, Cl A 7,265 530 Cenveo* 7,075 153 Ceradyne* 600 45 Chicago Bridge & Iron 39,395 1,696 ChoicePoint* 1,235 47 Clarcor 1,600 55 Clean Harbors* 126 6 CNH Global 3,060 186 Columbus McKinnon* 2,549 63 Compx International 7,900 155 Con-way 3,903 180 Continental Airlines, Cl B (B)* 1,200 40 Copart* 6,700 230 Corporate Executive Board 500 37 Corrections of America* 12,710 333 Crane 17,100 820 Cummins 12,500 1,599 Curtiss-Wright 1,200 57 Danaos 7,900 285 Deluxe 21,700 799 Dollar Thrifty Automotive Group (B)* 1,200 42 Donaldson 10,700 447 Dun & Bradstreet 6,549 646 Dynamic Materials (B) 27,500 1,317 Eagle Bulk Shipping (B) 5,900 152 EDO 2,885 162 EMCOR Group* 5,264 165 Energy Conversion Devices (B)* 1,400 32 EnPro Industries* 800 32 Equifax 11,958 456 ESCO Technologies (B)* 13,410 446 - -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) - -------------------------------------------------------------------------------- Evergreen Solar (B)* 3,700 $ 33 Fastenal (B) 1,200 54 Federal Signal 2,500 38 First Solar* 3,245 382 Flow International (B)* 70,200 619 Flowserve (B) 3,000 229 Fluor 502 72 Forward Air 1,200 36 Freightcar America 1,411 54 FTI Consulting* 1,000 50 G&K Services 900 36 GATX (B) 3,600 154 GenCorp* 9,825 117 General Cable* 12,714 853 General Electric 150 6 Geo Group* 3,263 97 Global Cash Access* 3,200 34 Goodrich 20,932 1,428 Gorman-Rupp 1,000 33 Graco 500 20 GrafTech International* 4,600 82 Granite Construction 1,500 80 H&E Equipment Services* 2,375 43 Harsco 3,600 213 Heartland Express (B) 1,800 26 Herman Miller 5,600 152 Hertz Global Holdings* 23,600 536 Hexcel* 1,800 41 Honeywell International 1,614 96 HUB Group, Cl A* 15,210 457 Hubbell, Cl B 14,400 823 Huron Consulting Group* 7,590 551 IDEX 11,245 409 Insituform Technologies, Cl A (B)* 1,500 23 Interline Brands* 2,500 57 Ionatron* 655 2 Jacobs Engineering Group* 5,024 380 JB Hunt Transport Services 18,600 489 JetBlue Airways (B)* 2,600 24 Joy Global 22,000 1,119 Kaman 2,082 72 Kansas City Southern* 17,000 547 Kaydon 700 36 KBR* 14,300 554 Kelly Services, Cl A (B) 16,300 323 Kirby* 2,404 106 Knoll (B) 36,500 648 Ladish* 1,917 106 Laidlaw International 8,700 306 Landstar System 7,300 306 Lennox International 15,200 514 Lincoln Electric Holdings 1,980 154 MAIR Holdings* 5,300 31 - -------------------------------------------------------------------------------- 104 SEI Institutional Managed Trust / Annual Report / September 30, 2007 - -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) - -------------------------------------------------------------------------------- Manitowoc 28,930 $ 1,281 Manpower 700 45 McDermott International* 6,659 360 Middleby* 9,800 632 Milacron (B)* 6,736 48 Mine Safety Appliances (B) 1,600 75 Mobile Mini* 1,400 34 Monster Worldwide* 18,300 623 Moog, Cl A (B)* 2,300 101 MSC Industrial Direct, Cl A 1,200 61 MTC Technologies* 1,300 25 Mueller Industries (B) 24,300 878 Mueller Water Products, Cl B 3,205 35 Navistar International* 8,400 518 NCI Building Systems* 2,900 125 Nordson 1,000 50 Old Dominion Freight Line* 1,050 25 Orbital Sciences* 32,900 732 Oshkosh Truck 3,400 211 Pacer International 1,700 32 Pall 39,265 1,527 PAM Transportation Services (B)* 1,500 27 PHH* 14,400 378 Quanta Services (B)* 30,311 802 RBC Bearings (B)* 13,420 515 Regal-Beloit 600 29 Republic Airways Holdings* 23,660 501 Resources Connection (B) 1,900 44 Robert Half International 1,900 57 Rockwell Automation 150 10 Rollins 1,600 43 RR Donnelley & Sons 1,500 55 Ryder System 28,929 1,418 School Specialty (B)* 2,000 69 Sequa, Cl A* 189 31 Shaw Group* 5,421 315 Skywest 1,500 38 Spirit Aerosystems Holdings, Cl A* 18,210 709 SPX 5,900 546 Standard Register 3,764 48 Steelcase, Cl A 43,200 777 Stericycle* 1,000 57 Sunpower, Cl A (B)* 1,800 149 Superior Essex* 33 1 Taser International (B)* 4,000 63 Tecumseh Products, Cl A* 31,700 610 Teledyne Technologies (B)* 23,340 1,246 TeleTech Holdings* 2,300 55 Tetra Tech (B)* 1,300 27 Thomas & Betts* 1,600 94 Timken (B) 15,210 565 Toro 1,400 82 TransDigm Group* 900 41 - -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) - -------------------------------------------------------------------------------- Trinity Industries (B) 24,800 $ 931 TurboChef Technologies (B)* 2,800 37 UAP Holding 29,615 929 United Rentals* 20,200 650 United Stationers* 7,737 430 United Technologies 2,260 182 Universal Forest Products (B) 13,500 404 URS* 24,599 1,389 USG (B)* 800 30 UTI Worldwide 6,400 147 Viad 3,500 126 Wabtec 9,287 348 Walter Industries (B) 6,255 168 Washington Group International* 5,008 440 Waste Connections* 31,539 1,002 Waste Industries USA 1,800 52 Waste Services* 2,900 28 Watson Wyatt Worldwide, Cl A (B) 8,455 380 Watts Water Technologies, Cl A (B) 1,000 31 WESCO International* 1,495 64 Williams Scotsman International* 2,900 80 Woodward Governor (B) 14,500 905 WW Grainger 7,300 666 YRC Worldwide (B)* 17,300 473 -------------- 60,698 -------------- INFORMATION TECHNOLOGY -- 20.3% 3Com* 31,900 158 ACI Worldwide (B)* 700 16 Activision (B)* 98,300 2,122 Acxiom 4,900 97 ADC Telecommunications* 2,900 57 Adobe Systems* 966 42 Adtran (B) 2,700 62 Advanced Analogic Technologies* 13,125 140 Advanced Energy Industries* 2,300 35 Advent Software* 9,600 451 Akamai Technologies* 8,681 249 Alliance Semiconductor 29,600 68 Amdocs* 2,700 100 AMIS Holdings* 16,641 162 Amkor Technology (B)* 32,900 379 Andrew* 5,200 72 Ansys* 4,200 144 Applied Micro Circuits* 68,100 215 Ariba* 2,900 31 ARM Holdings ADR 63,700 599 Arris Group (B)* 31,200 385 Arrow Electronics* 1,000 43 Aspen Technology* 3,200 46 Atheros Communications (B)* 16,335 490 Atmel* 6,600 34 - -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Annual Report / September 30, 2007 105 SCHEDULE OF INVESTMENTS Tax-Managed Small Cap Fund (Continued) September 30, 2007 - -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) - -------------------------------------------------------------------------------- ATMI* 1,600 $ 48 Authorize.Net Holdings* 3,400 60 Autodesk* 1,000 50 Avanex (B)* 72,200 118 Avaya* 15,900 270 Avnet* 25,610 1,021 Avocent* 35,300 1,028 AVX 4,600 74 Axcelis Technologies* 5,300 27 BEA Systems* 18,400 255 BearingPoint (B)* 80,800 327 Bel Fuse, Cl B 600 21 Benchmark Electronics* 3,444 82 Black Box 6,200 265 Blackbaud 1,500 38 Blackboard (B)* 3,325 152 Blue Coat Systems* 100 8 BMC Software* 4,800 150 Brightpoint* 2,305 35 Broadcom, Cl A* 111 4 Broadridge Financial Solutions 23,600 447 Brocade Communications Systems* 134,500 1,151 Brooks Automation* 4,900 70 Cabot Microelectronics (B)* 3,100 133 CACI International, Cl A* 1,200 61 Cadence Design Systems (B)* 2,600 58 Cavium Networks* 2,300 75 Ceridian* 4,500 156 Checkfree* 1,500 70 Checkpoint Systems* 7,002 185 Ciena* 1,600 61 Cirrus Logic* 6,512 42 Citrix Systems* 27,596 1,113 CNET Networks (B)* 118,900 886 Cogent (B)* 6,800 107 Cognex 9,900 176 Cognizant Technology Solutions, Cl A* 3,700 295 Coherent* 3,600 115 CommScope* 12,100 608 Commvault Systems* 22,900 424 Computer Sciences* 5,010 280 Comtech Telecommunications* 1,000 53 Comverse Technology* 39,300 778 Convergys* 17,000 295 Cree* 1,374 43 CSG Systems International (B)* 4,734 101 CTS 16,025 207 Cymer* 20,001 768 Cypress Semiconductor* 3,525 103 Daktronics (B) 1,300 35 DealerTrack Holdings (B)* 11,060 463 - -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) - -------------------------------------------------------------------------------- Dice Holdings (B)* 23,100 $ 237 Diebold 4,950 225 Digital River* 800 36 Dolby Laboratories, Cl A* 1,500 52 DST Systems* 800 69 Dycom Industries* 2,600 80 Earthlink* 38,800 307 Echelon (B)* 2,600 65 Electro Scientific Industries* 1,000 24 Electronic Arts* 11,600 649 Electronic Data Systems 25,442 556 Electronics for Imaging* 25,365 681 Emulex* 3,610 69 Entegris (B)* 3,600 31 Equinix (B)* 500 44 Euronet Worldwide (B)* 3,300 98 F5 Networks* 31,900 1,186 Factset Research Systems 11,775 807 Fairchild Semiconductor International (B)* 6,600 123 FEI* 1,300 41 Fidelity National Information Services 900 40 Flextronics International (B)* 196,000 2,191 Flir Systems* 3,305 183 Formfactor* 700 31 Forrester Research* 900 21 Foundry Networks* 85,200 1,514 Gartner* 2,600 64 Gevity HR 29,900 306 Global Payments 5,300 234 Greenfield Online (B)* 4,400 67 Harmonic* 27,200 289 Harris 800 46 Heartland Payment Systems (B) 6,885 177 Hewitt Associates, Cl A* 9,084 318 Ikanos Communications* 31,200 174 Immersion (B)* 18,700 306 Informatica (B)* 57,000 895 Ingram Micro, Cl A* 1,200 24 InterDigital* 1,500 31 Intermec (B)* 3,276 86 International Rectifier* 807 27 Intersil, Cl A 60,100 2,009 Intuit* 7,925 240 Iron Mountain* 1,200 37 Itron (B)* 2,565 239 Ixia* 4,400 38 j2 Global Communications* 2,400 79 Jack Henry & Associates 2,200 57 JDS Uniphase (B)* 29,300 438 Juniper Networks* 12,954 474 Kemet* 2,900 21 - -------------------------------------------------------------------------------- 106 SEI Institutional Managed Trust / Annual Report / September 30, 2007 - -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) - -------------------------------------------------------------------------------- Keynote Systems* 31,700 $ 435 Kopin (B)* 8,800 34 Kulicke & Soffa Industries* 1,137 10 L-1 Identity Solutions (B)* 6,423 121 Lam Research (B)* 2,050 109 Lawson Software (B)* 67,900 680 Lexmark International, Cl A* 11,175 464 Littelfuse* 800 29 LoopNet* 1,900 39 Loral Space & Communications* 3,000 119 LSI Logic* 21,975 163 Macrovision* 1,200 30 Manhattan Associates* 14,575 400 Mantech International, Cl A* 1,500 54 Mastec* 2,600 37 Mattson Technology* 783 7 MAXIMUS (B) 2,100 92 McAfee* 5,081 177 MEMC Electronic Materials* 1,700 100 Mentor Graphics* 5,000 76 Mercury Computer Systems* 20,900 215 Methode Electronics 33,500 504 Mettler Toledo International* 400 41 Micrel 2,700 29 Microsemi (B)* 50,125 1,397 MicroStrategy, Cl A* 587 47 Microtune* 5,210 31 MKS Instruments* 17,800 339 Molex 13,100 353 MoneyGram International 1,000 23 Monolithic Power Systems* 5,478 139 MPS Group* 1,700 19 MSC.Software* 2,900 39 MTS Systems 1,319 55 National Instruments 1,300 45 National Semiconductor 12,800 347 NAVTEQ* 1,700 133 NCR* 2,225 111 Ness Technologies* 2,600 28 Net 1 UEPS Technologies (B)* 1,300 35 Netgear* 1,300 40 Netlogic Microsystems* 525 19 Newport* 1,300 20 NIC (B) 3,700 26 Novell* 4,200 32 Nuance Communications* 70,700 1,365 Omnivision Technologies (B)* 2,800 64 ON Semiconductor (B)* 45,410 570 Orckit Communications (B)* 22,900 159 Palm (B)* 2,300 37 Park Electrochemical 1,200 40 Perficient* 15,595 341 - -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) - -------------------------------------------------------------------------------- Pericom Semiconductor* 2,100 $ 25 Perot Systems, Cl A* 3,100 52 Plantronics (B) 2,600 74 Plexus* 1,200 33 PMC - Sierra (B)* 5,600 47 Polycom* 123,200 3,309 Powerwave Technologies* 20,755 128 Progress Software* 1,200 36 Quest Software* 2,300 39 Rackable Systems (B)* 18,300 237 RADWARE* 14,200 223 Rambus* 2,400 46 RealNetworks* 6,900 47 Red Hat (B)* 133,800 2,659 RF Micro Devices (B)* 227,600 1,532 Riverbed Technology* 44,700 1,805 Rofin-Sinar Technologies* 500 35 S1* 3,900 35 SAIC* 2,800 54 Salesforce.com (B)* 25,060 1,286 SanDisk* 1,150 63 Sapient* 5,700 38 Satyam Computer Services ADR (B) 37,600 973 Scansource (B)* 1,200 34 Seachange International* 50,500 349 Seagate Technology 20,159 516 Semtech* 4,000 82 Silicon Laboratories* 3,925 164 Silicon Motion Technology ADR* 16,535 372 Sina* 9,075 434 Sirf Technology Holdings (B)* 3,600 77 SkillSoft ADR* 36,495 328 Skyworks Solutions* 230,200 2,081 Solectron* 118,800 463 Solera Holdings (B)* 40,800 734 Sonus Networks* 6,500 40 SRA International, Cl A* 1,500 42 Standard Microsystems* 1,548 59 Sun Microsystems* 40,822 229 Supertex (B)* 900 36 Sybase (B)* 24,500 567 Sycamore Networks* 11,300 46 SYKES Enterprises* 50,400 837 Synaptics* 1,300 62 Synchronoss Technologies* 12,225 514 SYNNEX* 1,243 26 Synopsys* 25,053 678 Syntel 2,100 87 Take-Two Interactive Software (B)* 2,600 44 Tech Data* 9,800 393 Technitrol 20,900 563 Tekelec (B)* 56,700 686 - -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Annual Report / September 30, 2007 107 SCHEDULE OF INVESTMENTS Tax-Managed Small Cap Fund (Continued) September 30, 2007 - -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) - -------------------------------------------------------------------------------- Tektronix 986 $ 27 Tellabs* 5,700 54 Tessera Technologies* 900 34 THQ (B)* 51,400 1,284 TIBCO Software* 103,900 768 Trident Microsystems (B)* 45,482 723 Trimble Navigation* 15,885 623 Triquint Semiconductor* 106,000 520 Ultratech (B)* 35,700 495 United Online 29,300 440 Universal Display (B)* 29,785 528 Utstarcom (B)* 42,300 155 Valueclick* 1,400 31 Varian Semiconductor Equipment Associates* 21,500 1,151 Vasco Data Security International* 14,685 519 Veeco Instruments* 6,946 135 VeriFone Holdings (B)* 32,405 1,437 Verigy* 15,020 371 Verint Systems* 26,000 676 VeriSign* 17,264 582 Viasat* 11,010 339 Vishay Intertechnology* 55,500 723 Wavecom ADR (B)* 12,900 316 Websense* 1,500 30 Western Digital* 47,200 1,195 Wind River Systems (B)* 127,200 1,497 Zoran* 53,069 1,072 -------------- 84,488 -------------- MATERIALS -- 5.5% Airgas 8,905 460 AK Steel Holding* 9,853 433 Albemarle 4,800 212 Allegheny Technologies 9,000 990 Apex Silver Mines (B)* 6,875 134 Aptargroup 12,980 492 Ashland 12,725 766 Ball (B) 16,900 908 Cabot 8,094 288 Carpenter Technology 3,964 515 Celanese, Ser A 11,300 440 Century Aluminum* 700 37 Cincinnati Bell* 1,205 6 Coeur d'Alene Mines (B)* 20,000 76 Commercial Metals 19,985 633 Compass Minerals International (B) 2,700 92 Constar International* 18,500 85 Crown Holdings* 34,500 785 Cytec Industries 20,300 1,388 Deltic Timber 700 40 - -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) - -------------------------------------------------------------------------------- Eagle Materials (B) 800 $ 29 Eastman Chemical 8,500 567 Ferro 1,700 34 Florida Rock Industries 900 56 FMC 43,197 2,247 Glatfelter 2,300 34 Graphic Packaging* 22,900 104 Greif, Cl A 8,173 496 H.B. Fuller 18,600 552 Headwaters* 3,449 51 Hercules 47,820 1,005 International Flavors & Fragrances 500 26 Koppers Holdings 1,200 46 Kronos Worldwide 1,900 36 Louisiana-Pacific 13,900 236 Lubrizol 14,300 930 Martin Marietta Materials (B) 300 40 MeadWestvaco 14,800 437 Metal Management 700 38 Minerals Technologies 600 40 Mosaic (B)* 6,500 348 Neenah Paper 2,442 81 NewMarket 592 29 NN 2,200 22 Owens-Illinois* 18,852 781 Packaging of America 900 26 Pactiv* 14,800 424 PolyOne* 42,500 318 Quanex (B) 19,125 899 Rock-Tenn, Cl A 12,200 353 Royal Gold (B) 900 29 Ryerson (B) 1,300 44 Schnitzer Steel Industries, Cl A (B) 300 22 Schweitzer-Mauduit International 1,500 35 Scotts Miracle-Gro, Cl A 5,000 214 Sealed Air 1,200 31 Sensient Technologies 3,400 98 Sigma-Aldrich (B) 5,800 283 Silgan Holdings 2,485 134 Smurfit-Stone Container (B)* 2,800 33 Steel Dynamics 13,800 644 Stillwater Mining* 4,200 43 Symyx Technologies* 1,878 16 Terra Industries (B)* 11,800 369 Texas Industries (B) 11,836 929 Titanium Metals (B)* 668 22 United States Steel 6,400 678 Valhi 1,400 33 Valspar 14,000 381 WR Grace* 635 17 -------------- 23,120 -------------- - -------------------------------------------------------------------------------- 108 SEI Institutional Managed Trust / Annual Report / September 30, 2007 - -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) - -------------------------------------------------------------------------------- TELECOMMUNICATION SERVICES -- 1.8% Alaska Communications Systems Group 19,495 $ 282 American Tower, Cl A* 5,315 231 Cbeyond* 1,800 73 Centennial Communications* 19,955 202 CenturyTel 19,200 887 Citizens Communications 2,380 34 Clearwire, Cl A (B)* 39,200 958 Cogent Communications Group* 11,800 275 Consolidated Communications Holdings 41 1 Crown Castle International* 3,022 123 Dobson Communications, Cl A* 4,855 62 Fairpoint Communications 1,900 36 FiberTower* 22,675 87 General Communication, Cl A* 1,800 22 Global Crossing (B)* 12,130 256 Globalstar (B)* 3,700 27 Golden Telecom 275 22 IDT, Cl B 3,115 26 Iowa Telecommunications Services 6,165 122 Leap Wireless International* 4,935 402 Level 3 Communications (B)* 7,333 34 NII Holdings (B)* 800 66 North Pittsburgh Systems (B) 1,200 28 NTELOS Holdings 14,620 431 PAETEC Holdings* 3,300 41 Rural Cellular, Cl A* 3,050 133 SBA Communications, Cl A* 57,985 2,046 Telephone & Data Systems 600 40 Time Warner Telecom, Cl A* 7,240 159 USA Mobility 2,950 50 Verizon Communications 1,983 88 Vonage Holdings* 39,520 41 Windstream 2,200 31 -------------- 7,316 -------------- UTILITIES -- 3.6% AES* 1,823 37 AGL Resources 2,500 99 Allegheny Energy* 1,500 78 Allete (B) 2,400 108 Alliant Energy 478 18 Avista (B) 16,600 338 Black Hills 1,585 65 Centerpoint Energy (B) 44,900 720 CH Energy Group (B) 1,700 81 Cleco 1,500 38 CMS Energy 48,000 807 - -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) - -------------------------------------------------------------------------------- Consolidated Edison 4,275 $ 198 Constellation Energy Group 1,100 94 DPL (B) 9,275 244 Dynegy, Cl A* 4,200 39 El Paso Electric* 2,000 46 Empire District Electric (B) 5,806 131 Energen 4,800 274 EnergySouth 800 40 Equitable Resources 11,204 581 Idacorp 1,600 52 Integrys Energy Group 14,172 726 ITC Holdings 1,000 50 Laclede Group 5,150 166 MDU Resources Group (B) 41,175 1,146 MGE Energy (B) 2,200 74 National Fuel Gas 2,400 112 New Jersey Resources 900 45 Nicor (B) 7,200 309 Northeast Utilities (B) 4,000 114 Northwest Natural Gas 1,300 59 NorthWestern 14,450 393 NRG Energy* 1,200 51 OGE Energy 250 8 Oneok 10,725 508 Ormat Technologies (B) 18,125 840 Otter Tail (B) 2,200 79 Pepco Holdings 9,900 268 Pinnacle West Capital (B) 19,300 763 PNM Resources 1,552 36 Portland General Electric 1,270 35 PPL 2,600 120 Progress Energy 4,325 203 Puget Energy 16,000 392 Reliant Energy* 19,738 505 SCANA 8,372 324 Sempra Energy (B) 2,900 169 Southern Union 21,500 669 Southwest Gas (B) 11,550 327 Southwest Water (B) 2,400 30 TECO Energy (B) 33,039 543 UGI 34,975 909 UIL Holdings 833 26 Unisource Energy 443 13 Vectren 11,100 303 Westar Energy 21,600 531 WGL Holdings 1,100 37 Wisconsin Energy 4,100 185 -------------- 15,156 -------------- Total Common Stock (Cost $331,722) ($ Thousands) 401,337 -------------- - -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Annual Report / September 30, 2007 109 SCHEDULE OF INVESTMENTS Tax-Managed Small Cap Fund (Concluded) September 30, 2007 - -------------------------------------------------------------------------------- Shares/Face Amount Market Value Description ($ Thousands) ($ Thousands) - -------------------------------------------------------------------------------- Number of Warrants ---------- WARRANTS -- 0.0% Washington Mutual (D)* 116,700 $ 29 -------------- Total Warrants (Cost $27) ($ Thousands) 29 -------------- CASH EQUIVALENTS**++ -- 30.1% SEI Daily Income Trust, Prime Obligation Fund, Cl A, 5.350% 15,824,836 15,825 SEI Liquidity Fund LP, 5.367% (C) 109,874,839 109,875 -------------- Total Cash Equivalents (Cost $125,700) ($ Thousands) 125,700 -------------- U.S. TREASURY OBLIGATION (A) (E) -- 0.2% U.S. Treasury Bills 3.953%, 11/23/07 $ 646 643 -------------- Total U.S. Treasury Obligation (Cost $642) ($ Thousands) 643 -------------- Total Investments -- 126.6% (Cost $458,091) ($ Thousands) $ 527,709 ============== A summary of the open futures contracts held by the Fund at September 30, 2007, is as follows (see Note 2 in Notes to Financial Statements): - -------------------------------------------------------------------------------- NUMBER OF UNREALIZED TYPE OF CONTRACTS EXPIRATION APPRECIATION CONTRACT LONG (SHORT) DATE ($ THOUSANDS) - -------------------------------------------------------------------------------- Russell 2000 Index E-MINI 102 Dec-2007 $ 232 S&P 400 Index E-MINI 89 Dec-2007 223 ------- $ 455 ======= Percentages are based on Net Assets of $416,945 ($ Thousands). * Non-Income Producing Security. ** Rate shown is the 7-day effective yield as of September 30, 2007. + Real Estate Investment Trust. ++ Investment in Affiliated Security (see Note 3). (A) Security, or portion thereof, has been pledged as collateral on open futures contracts. (B) This security or a partial position of this security is on loan at September 30, 2007. The total market value of securities on loan at September 30, 2007 was $106,335 ($ Thousands). (C) This security was purchased with cash collateral held from securities on loan. The total market value of such securities as of September 30, 2007 was $109,875 ($ Thousands). (D) This warrant does not have a strike price or expiration date. (E) The rate reported is the effective yield at time of purchase. ADR -- American Depositary Receipt Cl -- Class LLC -- Limited Liability Company LP -- Limited Partnership Ser -- Series The accompanying notes are an integral part of the financial statements. - -------------------------------------------------------------------------------- 110 SEI Institutional Managed Trust / Annual Report / September 30, 2007 Small/Mid Cap Diversified Alpha Fund September 30, 2007 - -------------------------------------------------------------------------------- SECTOR WEIGHTINGS# (UNAUDITED): [THE FOLLOWING TABLE WAS REPRESENTED BY A BAR CHART IN THE PRINTED MATERIAL.] 12.8% U.S. Government Agency Mortgage-Backed Obligations 12.7% Financials 12.1% Information Technology 11.8% Industrials 10.0% Asset-Backed Securities 8.3% Consumer Discretionary 7.0% Short-Term Investment 6.8% Health Care 5.2% Materials 4.3% Energy 4.3% Utilities 2.5% Consumer Staples 1.8% Telecommunication Services 0.3% U.S. Treasury Obligations 0.1% Convertible Bond 0.0% Purchased Option 0.0% Warrants #Percentages based on total investments. - -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) - -------------------------------------------------------------------------------- COMMON STOCK -- 79.8% CONSUMER DISCRETIONARY -- 9.6% Abercrombie & Fitch, Cl A 985 $ 79 Aeropostale (C)* 3,750 71 Aftermarket Technology* 3,183 101 Ambassadors Group (C) 700 27 American Eagle Outfitters (C) 6,100 160 AnnTaylor Stores* 2,573 81 ArvinMeritor 2,321 39 Big Lots (C)* 5,311 158 Black & Decker 2,300 192 Blockbuster, Cl A* 29,845 160 Blyth 2,288 47 Bob Evans Farms 126 4 BorgWarner (C) 700 64 Brinker International (C) 4,500 123 Brown Shoe (C) 12,966 252 Buckle (C) 1,100 42 Cablevision Systems, Cl A* 5,130 179 Casual Male Retail Group* 19,000 170 CBRL Group 4,595 187 CEC Entertainment* 3,941 106 Charming Shoppes* 24,100 202 Cinemark Holdings* 7,824 145 Citadel Broadcasting (C) 2,700 11 Cooper Tire & Rubber (C) 10,660 260 Corinthian Colleges* 9,489 151 CROCS* 275 18 CSK Auto (C)* 5,700 61 Denny's* 16,799 67 Dollar Tree Stores (C)* 9,752 395 Dover Downs Gaming & Entertainment (C) 2,700 28 DreamWorks Animation SKG, Cl A* 4,000 134 - -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) - -------------------------------------------------------------------------------- Dress Barn (C)* 1,200 $ 20 Drew Industries (C)* 1,900 77 Eastman Kodak 2,155 58 EchoStar Communications, Cl A (C)* 4,700 220 Eddie Bauer Holdings* 19,200 165 Entercom Communications 7,245 140 Family Dollar Stores 2,084 55 Ford Motor 470 4 GameStop, Cl A* 142 8 Getty Images* 1,180 33 Gildan Activewear* 4,000 158 Global Sources (C)* 3,500 78 Goodyear Tire & Rubber* 6,267 191 Group 1 Automotive 4,500 151 Gymboree (C)* 2,300 81 Harley-Davidson (C) 300 14 Harman International Industries 390 34 Hasbro (C) 14,733 411 Hayes Lemmerz International* 21,762 91 Home Solutions of America* 575 2 IAC/InterActive* 3,725 111 Interactive Data (C) 1,200 34 ITT Educational Services* 580 71 Jackson Hewitt Tax Service (C) 6,100 171 Jakks Pacific* 1,823 49 Jarden* 5,705 177 Jo-Ann Stores (C)* 5,917 125 Jos. A. Bank Clothiers (C)* 7,254 242 Lear (C)* 6,300 202 Lin TV, Cl A (C)* 4,100 53 Maidenform Brands (C)* 1,800 29 Meredith (C) 4,912 281 Mohawk Industries* 2,163 176 Movado Group (C) 400 13 NVR (C)* 644 303 O'Charleys (C) 1,183 18 Office Depot (C)* 2,200 45 Oxford Industries (C) 800 29 Penn National Gaming* 4,930 291 Perry Ellis International (C)* 7,470 207 Polaris Industries (C) 5,466 238 priceline.com* 750 67 R.H. Donnelley* 5,293 297 RadioShack 4,743 98 Regal Entertainment Group, Cl A (C) 7,600 167 Regis 6,700 214 Rent-A-Center* 6,565 119 Sally Beauty Holdings* 2,325 20 Sauer-Danfoss 1,580 42 Sealy 1,625 23 Sinclair Broadcast Group, Cl A (C) 13,398 161 Sirius Satellite Radio* 4,570 16 - -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Annual Report / September 30, 2007 111 SCHEDULE OF INVESTMENTS Small/Mid Cap Diversified Alpha Fund (Continued) September 30, 2007 - -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) - -------------------------------------------------------------------------------- Smith & Wesson Holding* 325 $ 6 Sotheby's Holdings (C) 3,000 143 Standard Motor Products (C) 12,594 118 Standard-Pacific 10,580 58 Steinway Musical Instruments (C) 700 21 Stoneridge (C)* 18,711 191 Sturm Ruger (C)* 8,145 146 Sun-Times Media Group, Cl A 1,400 3 Talbots 4,495 81 Tecnisa (Brazil) (D) 32,500 204 Tempur-Pedic International (C) 6,835 244 Timberland, Cl A* 9,850 187 Town Sports International Holdings (C)* 1,700 26 True Religion Apparel* 10,000 176 TRW Automotive Holdings* 6,070 192 Tupperware Brands (C) 15,030 473 Under Armour, Cl A* 325 19 Virgin Media 110 3 Visteon* 3,225 17 Warnaco Group* 715 28 Weight Watchers International 2,875 165 West Marine (C)* 12,126 140 WMS Industries (C)* 1,050 35 XM Satellite Radio Holdings, Cl A* 3,025 43 -------------- 12,513 -------------- CONSUMER STAPLES -- 2.8% Alliance One International (C)* 33,966 222 Andersons 805 39 Asiatic Development (Malaysia) (D) 98,500 185 Avon Products 2,615 98 Bunge 335 36 Central Garden and Pet, Cl A* 1,295 12 Corn Products International 1,830 84 Cosan SA Industria e Comercio (Brazil) (D)* 16,500 224 Energizer Holdings* 2,114 234 Imperial Sugar 100 3 Inter Parfums 6,800 161 Lance 5,700 131 Loews - Carolina 3,347 275 Longs Drug Stores (C) 6,450 320 Mannatech (C) 3,500 28 Molson Coors Brewing, Cl B (C) 2,245 224 Nash Finch (C) 6,475 258 NBTY (C)* 4,784 194 PepsiAmericas 5,345 174 Pilgrim's Pride 4,922 171 Revlon, Cl A* 15,625 18 Safeway (C) 3,300 109 - -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) - -------------------------------------------------------------------------------- Smithfield Foods* 4,530 $ 143 Universal (C) 5,755 282 USANA Health Sciences (C)* 2,400 105 -------------- 3,730 -------------- ENERGY -- 4.9% Alon USA Energy 3,255 110 Arch Coal 215 7 Arena Resources* 200 13 Arlington Tankers 7,700 190 ATP Oil & Gas* 4,705 221 BA Energy, Deal #3 PIPE (Canada) (D) (I) (J)* 12,000 85 Basic Energy Services* 8,825 186 Bois d'Arc Energy (C)* 1,500 29 BPZ Energy PIPE (I) (J)* 16,800 131 Cameron International* 675 62 Carrizo Oil & Gas* 5,173 232 Complete Production Services* 6,700 137 Comstock Resources (C)* 5,700 176 Consol Energy 75 4 Continental Resources (C)* 3,600 65 Crosstex Energy 1,865 71 Delek US Holdings (C) 7,800 196 Dresser-Rand Group* 3,840 164 Dril-Quip* 3,951 195 Encore Acquisition* 5,900 187 ENGlobal* 755 9 Exterran Holdings* 1,780 143 Foundation Coal Holdings 5,260 206 Global Industries* 1,532 39 Hercules Offshore* 8,100 211 Holly 1,973 118 Hugoton Royalty Trust 1,825 43 ION Geophysical* 926 13 Massey Energy 1,420 31 Matrix Service (C)* 10,791 226 McMoRan Exploration* 985 13 Meridian Resource* 25,949 64 NATCO Group, Cl A* 105 5 Oceaneering International* 50 4 Oilsands Quest* 35,200 156 Oilsands Quest PIPE (I) (J)* 4,000 18 OPTI (Canada) (D)* 9,800 184 OYO Geospace (C)* 600 56 Parallel Petroleum* 14,146 240 Parker Drilling* 6,612 54 Petroleum Development* 1,025 45 Plains Exploration & Production* 650 29 Rentech* 71,549 155 Rosetta Resources (C)* 9,036 166 - -------------------------------------------------------------------------------- 112 SEI Institutional Managed Trust / Annual Report / September 30, 2007 - -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) - -------------------------------------------------------------------------------- SEACOR Holdings (C)* 1,650 $ 157 St Mary Land & Exploration (C) 3,700 132 StealthGas 6,500 112 Superior Well Services* 7,500 170 Swift Energy (C)* 4,400 180 Synenco Energy, Cl A (Canada) (D)* 13,840 156 Tesoro 1,245 57 Tetra Technologies* 1,825 39 Tidewater (C) 3,119 196 Transmontaigne Partners LP 275 9 Trico Marine Services* 345 10 Unit* 3,975 192 Uranium One (Canada) (D)* 12,500 165 USEC (C)* 10,071 103 Vaalco Energy* 1,025 5 W&T Offshore 1,075 26 Western Refining 200 8 Williams 1,440 49 -------------- 6,455 -------------- FINANCIALS -- 14.1% A.G. Edwards (C) 3,965 332 ACA Capital Holdings (C)* 2,000 12 Acadia Realty Trust+ 6,400 174 Advance America Cash Advance Centers 4,797 51 Advanta, Cl B 4,570 125 Affiliated Managers Group (C)* 1,050 134 Alexandria Real Estate Equities+ 1,460 141 AllianceBernstein Holding LP 185 16 American Financial Group (C) 17,617 502 American Financial Realty Trust+ 17,900 144 American Home Mortgage Investment+ 3,695 1 Ameriprise Financial (C) 700 44 Amerisafe (C)* 6,608 109 Amtrust Financial Services (C) 2,300 35 Annaly Capital Management+ (C) 32,808 523 Anthracite Capital+ 2,742 25 AON 5,135 230 Arbor Realty Trust+ (C) 2,200 42 Arch Capital Group* 3,130 233 Associated Banc 5,200 154 Assurant 5,326 285 Assured Guaranty (C) 7,000 190 Bank of the Ozarks (C) 1,500 46 Bankunited Financial, Cl A (C) 21,047 327 Banner (C) 700 24 BlackRock 620 108 Calamos Asset Management, Cl A 3,575 101 Camden Property Trust+ 1,880 121 Canaccord Capital (Canada) (D) 7,100 136 - -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) - -------------------------------------------------------------------------------- Capital Trust, Cl A+ (C) 1,700 $ 60 Cash America International (C) 4,461 168 CB Richard Ellis Group, Cl A (C)* 2,259 63 City Bank (C) 4,752 136 City Holding (C) 1,200 44 CME Group 290 170 CNA Financial (C) 2,500 98 Colonial BancGroup 12,770 276 Community Bancorp (C)* 4,843 122 Companhia Brasileira de Desenvolvimento Imobiliari Turistico (Brazil) (D)* 200 104 CompuCredit* 5,740 125 Corus Bankshares (C) 12,217 159 Crystal River Capital+ (C) 3,000 50 Darwin Professional Underwriters (C)* 1,000 22 DiamondRock Hospitality+ (C) 4,600 80 Dime Community Bancshares 9,970 149 Discover Financial Services* 3,275 68 Dollar Financial* 7,325 209 Downey Financial (C) 4,196 243 Duke Realty+ (C) 2,100 71 Dundee (Canada)+ (D)* 1,000 39 Dundee (Canada)+ (D) 2,600 101 DundeeWealth (Canada) (D) 2,500 45 DundeeWealth (Canada) (D) 4,300 77 East West Bancorp (C) 6,000 216 Eaton Vance (C) 12,781 511 EMC Insurance Group 1,815 47 Entertainment Properties Trust+ (C) 1,400 71 Evercore Partners, Cl A (C) 7,400 195 Ezcorp, Cl A (C)* 8,200 110 Federated Investors, Cl B 6,137 244 FelCor Lodging Trust+ (C) 6,700 134 First Defiance Financial 614 17 First Financial Holdings (C) 400 13 First Horizon National 5,032 134 First Industrial Realty Trust+ (C) 3,755 146 First Marblehead (C) 1,300 49 First Merchants (C) 500 11 FirstFed Financial (C)* 7,618 377 Forest City Enterprises, Cl A 3,660 202 GAMCO Investors, Cl A (C) 600 33 General Shopping Brasil (Brazil) (D)* 24,400 193 Gluskin Sheff + Associates (Canada) (D) 6,500 199 GMP Capital Trust (Canada) (D) 7,400 162 Gramercy Capital+ (C) 5,800 146 Great Southern Bancorp 1,957 49 Grubb & Ellis* 14,500 135 Grubb & Ellis Realty Advisors* 24,300 149 - -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Annual Report / September 30, 2007 113 SCHEDULE OF INVESTMENTS Small/Mid Cap Diversified Alpha Fund (Continued) September 30, 2007 - -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) - -------------------------------------------------------------------------------- Hanover Insurance Group 5,110 $ 226 Hersha Hospitality Trust+ (C) 17,800 176 Highbury Financial Units* 13,600 75 Highwoods Properties+ (C) 1,600 59 Horizon Financial (C) 600 12 Hospitality Properties Trust+ (C) 4,000 163 Imperial Capital Bancorp (C) 3,124 88 IndyMac Bancorp 5,654 133 IntercontinentalExchange* 530 81 Investment Technology Group (C)* 3,800 163 iStar Financial+ (C) 7,249 246 Jones Lang LaSalle (C) 3,220 331 Kansas City Life Insurance 2,900 128 Lakeland Financial (C) 300 7 Lazard, Cl A 3,050 129 Legg Mason 205 17 Leucadia National 500 24 Maguire Properties+ 1,025 26 Marsh & McLennan 8,465 216 MFA Mortgage Investments+ 27,000 217 MGIC Investment 3,854 125 Move* 17,760 49 NASDAQ Stock Market* 4,300 162 National Financial Partners 2,860 152 National Retail Properties+ (C) 7,678 187 Nationwide Financial Services, Cl A (C) 6,305 339 Navigators Group (C)* 2,025 110 Nelnet, Cl A 1,175 21 New York Community Bancorp 26,775 510 NexCen Brands* 1,475 10 NorthStar Realty Finance+ (C) 11,980 119 NYSE Euronext 670 53 Ocwen Financial* 5,245 49 Pacific Capital Bancorp (C) 2,350 62 People's United Financial 9,440 163 PFF Bancorp 15,296 235 Philadelphia Consolidated Holding (C)* 2,943 122 Platinum Underwriters Holdings 4,864 175 PMI Group (C) 7,674 251 Public Storage+ 850 67 RAIT Financial Trust+ 15,480 127 Ram Holdings Ltd* 5,700 53 Realty Income+ 7,170 200 Sierra Bancorp (C) 400 11 South Financial Group 8,480 193 Southwest Bancorp 1,511 28 St. Joe 7,585 255 SVB Financial Group (C)* 4,200 199 SWS Group 4,559 81 T. Rowe Price Group 620 35 - -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) - -------------------------------------------------------------------------------- Taylor Capital Group 5,511 $ 154 TD Ameritrade Holding* 6,155 112 Thornburg Mortgage+ 1,240 16 Titanium Asset* 8,400 40 Transatlantic Holdings 345 24 Triad Guaranty (C)* 2,647 50 Trico Bancshares 310 7 UCBH Holdings 5,300 93 United Fire & Casualty 2,750 107 UnumProvident 3,530 86 Vineyard National Bancorp 1,929 32 W Holding 13,263 30 Washington Federal 4,130 108 West Coast Bancorp (C) 1,300 37 Westamerica Bancorporation 90 4 Wilshire Bancorp (C) 1,100 12 World Acceptance (C)* 7,365 244 WR Berkley (C) 800 24 WSFS Financial (C) 500 31 XL Capital, Cl A (C) 200 16 -------------- 18,474 -------------- HEALTH CARE -- 7.9% Abraxis BioScience* 1,060 24 Adams Respiratory Therapeutics* 1,120 43 Affymax (C)* 1,100 30 Air Methods* 1,045 48 Albany Molecular Research* 6,641 100 Align Technology* 1,830 46 Alliance Imaging (C)* 10,350 94 Alpharma, Cl A 520 11 American Dental Partners* 4,882 137 AMERIGROUP* 945 33 Amsurg* 12,408 286 Analogic 335 21 Applera -- Applied Biosystems Group (C) 1,000 35 Apria Healthcare Group (C)* 11,616 302 Arena Pharmaceuticals* 14,400 158 Ariad Pharmaceuticals* 31,700 147 Array Biopharma (C)* 3,500 39 Bausch & Lomb 1,115 71 Bradley Pharmaceuticals* 2,116 38 Centene (C)* 1,700 37 Cephalon (C)* 2,536 185 Chemed 2,527 157 Computer Programs & Systems 420 11 Conmed (C)* 9,463 265 Cooper 820 43 Corvel* 345 8 Covance* 200 16 - -------------------------------------------------------------------------------- 114 SEI Institutional Managed Trust / Annual Report / September 30, 2007 - -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) - -------------------------------------------------------------------------------- Cubist Pharmaceuticals (C)* 2,000 $ 42 Cutera (C)* 2,100 55 CV Therapeutics* 25,325 227 Cynosure, Cl A (C)* 3,400 125 Dionex* 497 39 DJO* 550 27 Eclipsys* 1,910 45 Edwards Lifesciences (C)* 1,700 84 Emergency Medical Services, Cl A* 1,713 52 Emergent Biosolutions (C)* 2,200 20 Encysive Pharmaceuticals* 60,100 91 Endo Pharmaceuticals Holdings (C)* 5,902 183 eResearch Technology* 5,325 61 Exelixis (C)* 21,900 232 Express Scripts* 1,300 73 Forest Laboratories (C)* 700 26 Genzyme* 2,305 143 Greatbatch (C)* 6,990 186 GTx (C)* 700 11 Hanger Orthopedic Group* 4,219 48 Health Net (C)* 4,361 236 Healthspring* 2,292 45 HLTH* 500 7 Human Genome Sciences* 19,700 203 Humana (C)* 2,900 203 Immunomedics* 14,542 33 IMS Health 4,360 134 Incyte* 32,600 233 Indevus Pharmaceuticals* 3,475 24 InterMune (C)* 2,100 40 Intuitive Surgical* 275 63 Inverness Medical Innovations* 1,550 86 Kindred Healthcare* 585 10 Kinetic Concepts (C)* 3,600 203 King Pharmaceuticals* 1,811 21 LCA-Vision 983 29 Lincare Holdings (C)* 6,100 224 Magellan Health Services* 3,052 124 Manor Care 2,989 192 Matria Healthcare* 811 21 Medcath (C)* 6,472 178 Medicines* 5,500 98 Mentor (C) 800 37 MGI Pharma (C)* 1,800 50 Micrus Endovascular* 7,500 137 Mylan Laboratories (C) 5,100 81 Odyssey HealthCare* 19,925 191 Omnicell* 895 26 Orthofix International* 370 18 OSI Pharmaceuticals (C)* 1,300 44 Owens & Minor 4,530 173 - -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) - -------------------------------------------------------------------------------- Par Pharmaceutical* 840 $ 16 PerkinElmer 8,143 238 PharmaNet Development Group (C)* 3,797 110 PharMerica* 211 3 PolyMedica 3,850 202 Pozen (C)* 1,300 14 Profarma Distribuidora de Produtos Farmaceuticos (Brazil) (D)* 9,100 178 Res-Care* 2,115 48 Resmed* 2,410 103 Respironics* 125 6 Sciele Pharma (C)* 6,418 167 Sirona Dental Systems (C)* 4,480 160 SurModics (C)* 400 20 Techne (C)* 600 38 Universal Health Services, Cl B 5,416 295 Vertex Pharmaceuticals (C)* 600 23 ViaCell* 4,770 22 Viropharma (C)* 3,100 28 Warner Chilcott, Cl A (C)* 4,500 80 Waters (C)* 4,125 276 Watson Pharmaceuticals (C)* 11,944 387 WellCare Health Plans (C)* 2,468 260 West Pharmaceutical Services (C) 6,609 275 -------------- 10,268 -------------- INDUSTRIALS -- 13.6% ABM Industries 2,424 49 ABX Air* 2,690 19 ACCO Brands* 6,255 140 Accuride* 5,214 63 Actuant, Cl A 1,160 75 Acuity Brands (C) 4,049 204 AGCO (C)* 10,813 549 Alaska Air Group* 5,420 125 Albany International, Cl A 4,541 170 Alexander & Baldwin 1,110 56 Alliant Techsystems* 1,383 151 Allied Waste Industries (C)* 15,700 200 Amerco* 187 12 American Commercial Lines* 8,530 203 American Reprographics (C)* 500 9 American Standard (C) 1,800 64 American Woodmark 2,167 54 AMR (C)* 600 13 AO Smith 1,255 55 Apogee Enterprises (C) 5,800 151 ASV* 275 4 Atlas Air Worldwide Holdings (C)* 2,000 103 Badger Meter 75 2 - -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Annual Report / September 30, 2007 115 SCHEDULE OF INVESTMENTS Small/Mid Cap Diversified Alpha Fund (Continued) September 30, 2007 - -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) - -------------------------------------------------------------------------------- BE Aerospace* 5,979 $ 248 Belden CDT 2,005 94 Blount International* 1,200 14 Bowne 9,502 158 Briggs & Stratton 9,845 248 Bucyrus International, Cl A 425 31 Cenveo (C)* 3,300 71 Ceradyne (C)* 800 61 ChoicePoint* 720 27 Clean Harbors* 70 3 Columbus McKinnon* 2,265 56 COMSYS IT Partners (C)* 7,515 126 Con-way 2,265 104 Consolidated Graphics (C)* 200 13 Continental Airlines, Cl B (C)* 5,879 194 Corrections of America* 8,278 217 CRA International* 3,750 181 Cummins (C) 3,793 485 Curtiss-Wright 4,860 231 Deluxe (C) 5,917 218 Dun & Bradstreet 3,530 348 DynCorp International, Cl A* 2,994 69 Eaton (C) 400 40 EDO 1,680 94 EMCOR Group (C)* 12,048 378 EnPro Industries (C)* 6,926 281 Equifax 3,575 136 ESCO Technologies* 5,825 194 Flint Energy Services (Canada) (D)* 650 18 Flint Energy Services (Canada) (D)* 4,100 110 Fluor 285 41 Force Protection* 15,500 336 Freightcar America 805 31 Gardner Denver (C)* 5,600 218 GenCorp* 5,700 68 General Cable* 1,220 82 General Electric 90 4 Genlyte Group (C)* 900 58 Geo Group* 1,880 56 GeoEye (C)* 1,800 46 Goodman Global (C)* 2,300 55 Goodrich 1,175 80 GrafTech International (C)* 27,684 494 Granite Construction (C) 5,335 283 H&E Equipment Services* 10,880 196 Harsco (C) 600 36 Heidrick & Struggles International (C)* 500 18 Herman Miller (C) 2,000 54 Hertz Global Holdings (C)* 11,700 266 Honeywell International 930 55 Ionatron* 380 1 - -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) - -------------------------------------------------------------------------------- Jacobs Engineering Group* 3,914 $ 296 Joy Global 525 27 Kaman 1,220 42 Kansas City Southern (C)* 3,800 122 Kirby* 945 42 Knoll 3,330 59 Labor Ready (C)* 1,100 20 Ladish* 1,100 61 Layne Christensen (C)* 500 28 Lennox International (C) 1,100 37 Lincoln Electric Holdings (C) 1,550 120 Lydall* 11,324 105 Manitowoc (C) 5,190 230 Moog, Cl A* 3,634 160 Multi-Color 6,492 148 NACCO Industries, Cl A 642 67 NCI Building Systems* 3,800 164 Orion Marine Group (I) (J)* 13,000 185 Oshkosh Truck 1,488 92 Pall 5,549 216 Parker Hannifin (C) 1,200 134 Perini (C)* 9,550 534 Quanta Services* 8,670 229 Republic Airways Holdings (C)* 1,600 34 Republic Services (C) 9,695 317 Rockwell Automation 75 5 RR Donnelley & Sons (C) 4,100 150 RSC Holdings (C)* 14,300 235 Ryder System (C) 1,495 73 Sequa, Cl A* 105 17 Shaw Group* 6,189 360 Skywest 7,379 186 Spirit Aerosystems Holdings, Cl A* 5,689 222 SPX (C) 876 81 Standard Register 2,180 28 Steelcase, Cl A (C) 10,701 192 Sun Hydraulics (C) 600 19 Sunpower, Cl A* 650 54 Superior Essex (C)* 2,325 87 TAL International Group 5,600 140 Teleflex (C) 3,441 268 Terex (C)* 3,127 278 Thomas & Betts (C)* 2,600 153 Timken 3,800 141 Tredegar (C) 8,639 149 UAL (C)* 4,584 213 UAP Holding 4,065 128 United Rentals* 3,700 119 United Stationers* 4,495 250 United Technologies 1,310 106 URS* 5,189 293 Viad (C) 1,100 40 - -------------------------------------------------------------------------------- 116 SEI Institutional Managed Trust / Annual Report / September 30, 2007 - -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) - -------------------------------------------------------------------------------- Wabtec 6,865 $ 257 Walter Industries 7,506 202 Washington Group International* 2,810 247 Waste Connections* 1,860 59 Waste Industries USA (C) 700 20 Watson Wyatt Worldwide, Cl A (C) 2,300 103 WESCO International* 870 37 Williams Scotsman International* 1,670 46 Xerium Technologies (C) 4,000 22 -------------- 17,846 -------------- INFORMATION TECHNOLOGY -- 14.0% ADC Telecommunications* 6,886 135 Advanced Analogic Technologies* 4,255 45 Advanced Energy Industries (C)* 3,700 56 Akamai Technologies* 3,700 106 AMIS Holdings (C)* 5,510 53 Amkor Technology (C)* 13,500 156 Andrew* 21,964 304 Arris Group (C)* 3,928 49 Arrow Electronics* 8,790 374 AsiaInfo Holdings* 22,393 203 Aspen Technology (C)* 2,700 39 Asyst Technologies* 28,600 151 Atmel* 70,664 365 Authorize.Net Holdings* 1,965 35 Avnet (C)* 4,155 166 Avocent* 105 3 AVX (C) 4,400 71 Benchmark Electronics* 655 16 Blackboard* 650 30 Blue Coat Systems* 75 6 BMC Software (C)* 2,400 75 Brightpoint* 1,335 20 Broadcom, Cl A* 65 2 Broadridge Financial Solutions (C) 12,000 227 C-COR* 5,927 68 Cadence Design Systems (C)* 4,200 93 Captaris* 28,833 153 Checkpoint Systems* 4,065 107 Chordiant Software (C)* 5,400 75 Ciber* 1,388 11 Cirrus Logic* 3,790 24 Citrix Systems* 1,670 67 CMGI* 29,202 40 CommScope (C)* 200 10 Computer Sciences* 2,920 163 Comtech Telecommunications* 3,718 199 Convergys (C)* 14,098 245 CPI International (C)* 400 8 Credence Systems* 58,772 182 - -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) - -------------------------------------------------------------------------------- Cree* 790 $ 25 CSG Systems International (C)* 13,605 289 CTS (C) 11,822 153 Cymer* 515 20 Cypress Semiconductor* 4,596 134 Diebold 2,400 109 Diodes* 6,603 212 DSP Group* 8,500 135 Dycom Industries (C)* 3,800 116 EFJ* 16,500 96 Electronic Arts* 6,750 378 Electronic Data Systems (C) 22,500 491 Electronics for Imaging* 3,620 97 Emergis (Canada) (D)* 24,100 169 EMS Technologies* 3,685 90 Emulex (C)* 7,715 148 Epicor Software (C)* 6,000 83 EPIQ Systems (C)* 14,758 278 Fidelity National Information Services (C) 500 22 Flir Systems* 1,230 68 Greenfield Online* 4,285 65 Harris (C) 1,800 104 Harris Stratex Networks, Cl A* 7,000 122 Heartland Payment Systems 2,495 64 Hewitt Associates, Cl A* 5,275 185 Hutchinson Technology* 8,200 202 Imation 7,300 179 Imergent (C) 800 18 Integrated Device Technology (C)* 2,600 40 InterDigital (C)* 6,100 127 Intermec* 965 25 International Rectifier* 460 15 Interwoven* 4,439 63 Intuit* 4,600 139 Itron* 1,140 106 Jack Henry & Associates (C) 1,700 44 JDA Software Group* 7,500 155 Juniper Networks* 7,540 276 Jupitermedias* 20,800 132 Kulicke & Soffa Industries* 645 5 Lam Research (C)* 3,175 169 Lawson Software* 16,721 167 Lexmark International, Cl A* 3,685 153 LoJack (C)* 9,094 172 LSI Logic* 9,650 72 LTX* 32,070 114 Magma Design Automation (C)* 10,169 143 Manhattan Associates (C)* 5,002 137 Mastec* 15,670 220 Mattson Technology* 445 4 - -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Annual Report / September 30, 2007 117 SCHEDULE OF INVESTMENTS Small/Mid Cap Diversified Alpha Fund (Continued) September 30, 2007 - -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) - -------------------------------------------------------------------------------- McAfee* 2,950 $ 103 MEMC Electronic Materials (C)* 900 53 Mentor Graphics (C)* 1,600 24 Mercadolibre* 2,800 103 Methode Electronics 12,743 192 Mettler Toledo International (C)* 4,173 426 Microsemi* 9,250 258 MicroStrategy, Cl A* 439 35 Microtune* 3,010 18 MIPS Technologies* 21,500 170 Monolithic Power Systems* 3,185 81 MTS Systems 785 33 NCR* 1,300 65 Netlogic Microsystems* 295 11 Network Appliance (C)* 500 13 Novatel (C)* 4,200 165 Novatel Wireless* 800 18 Novellus Systems (C)* 1,957 53 Nuance Communications* 5,300 102 ON Semiconductor (C)* 16,900 212 OSI Systems* 4,250 96 Palm* 13,100 213 Parametric Technology* 10,201 178 Park Electrochemical 5,000 168 Parkervision* 10,300 156 PC Connection (C)* 6,762 85 Perot Systems, Cl A* 6,118 103 Photon Dynamics* 17,025 154 Plexus* 14,513 398 PMC - Sierra* 19,300 162 Powerwave Technologies* 6,125 38 Riverbed Technology* 475 19 Rudolph Technologies* 2,900 40 Salesforce.com* 495 25 SanDisk* 675 37 Seachange International* 15,500 107 Sierra Wireless* 4,000 84 Silicon Laboratories* 1,125 47 Silicon Storage Technology (C)* 24,159 78 Staktek Holdings* 30,603 105 Standard Microsystems* 370 14 Sun Microsystems* 23,725 133 Sybase (C)* 14,414 333 SYNNEX* 735 15 Synopsys (C)* 6,610 179 Technitrol (C) 2,200 59 Tektronix 105 3 Teradyne (C)* 14,475 200 TNS (C) 1,900 31 Total System Services 3,975 110 Trina Solar ADR* 3,600 205 - -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) - -------------------------------------------------------------------------------- TTM Technologies* 16,500 $ 191 United Online (C) 6,500 98 Universal Display* 1,965 35 Varian Semiconductor Equipment Associates (C)* 2,050 110 Veeco Instruments* 3,090 60 VeriFone Holdings* 575 25 VeriSign* 10,035 339 Vignette* 4,175 84 Vishay Intertechnology (C)* 11,400 149 Western Digital (C)* 8,800 223 Wright Express* 3,800 139 Xerox (C)* 10,400 180 Zoran* 6,495 131 Zygo* 9,000 117 -------------- 18,253 -------------- MATERIALS -- 6.0% Airgas 4,408 228 AK Steel Holding (C)* 9,535 419 Albemarle (C) 5,000 221 AM Castle 4,472 146 Apex Silver Mines* 2,250 44 Ashland 7,400 446 Ball 3,140 169 Buckeye Technologies (C)* 25,001 379 Cabot 3,905 139 Carpenter Technology 2,669 347 Celanese, Ser A (C) 8,547 333 CF Industries Holdings 518 39 Cincinnati Bell* 52,816 261 Cleveland-Cliffs (C) 3,457 304 Commercial Metals 4,760 151 First Quantum Minerals (Canada) (D) 1,800 177 FMC (C) 4,275 222 Frontera Copper (Canada) (D)* 15,500 102 Graphic Packaging* 2,084 9 Greif, Cl A 2,674 162 Headwaters* 595 9 Hercules (C) 5,600 118 Horsehead Holding* 7,100 159 Innospec 3,824 87 Katanga Mining (Canada) (D)* 8,000 139 Lubrizol 3,488 227 Neenah Paper 945 31 NewMarket 345 17 OM Group (C)* 3,800 201 Owens-Illinois* 9,450 392 Pactiv (C)* 6,370 183 Rock-Tenn, Cl A (C) 14,182 410 Rockwood Holdings* 2,465 88 - -------------------------------------------------------------------------------- 118 SEI Institutional Managed Trust / Annual Report / September 30, 2007 - -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) - -------------------------------------------------------------------------------- Schnitzer Steel Industries, Cl A 1,350 $ 99 Schweitzer-Mauduit International (C) 5,719 133 Sherritt International (Canada) (D) 10,100 162 Silgan Holdings 985 53 Sonoco Products 5,705 172 Spartech (C) 10,216 174 Steel Dynamics 3,600 168 Symyx Technologies* 1,095 10 Terra Industries* 2,571 80 Texas Industries 30 2 United States Steel (C) 1,400 148 Wheeling-Pittsburgh* 12,400 239 WR Grace* 370 10 -------------- 7,809 -------------- TELECOMMUNICATION SERVICES -- 2.0% Alaska Communications Systems Group 10,005 145 Atlantic Tele-Network (C) 1,400 51 Cbeyond* 175 7 Centennial Communications* 11,600 117 CenturyTel (C) 7,994 369 Citizens Communications 3,944 56 Consolidated Communications Holdings 25 1 Dobson Communications, Cl A* 2,800 36 Embarq (C) 2,700 150 Fairpoint Communications 12,900 243 FiberTower* 13,175 51 Global Crossing* 5,885 124 Golden Telecom 150 12 IDT, Cl B 1,810 15 Iowa Telecommunications Services 2,640 52 Leap Wireless International* 2,875 234 Premiere Global Services (C)* 11,600 147 Rural Cellular, Cl A* 1,775 77 Sierra Wireless* 2,500 53 Syniverse Holdings (C)* 8,800 140 Telephone & Data Systems 3,317 221 Time Warner Telecom, Cl A* 4,215 93 US Cellular (C)* 1,200 118 USA Mobility (C) 6,225 105 Vonage Holdings* 22,985 24 -------------- 2,641 -------------- UTILITIES -- 4.9% AES (C)* 10,360 208 AGL Resources (C) 11,469 454 Alliant Energy 1,463 56 Atmos Energy 7,743 219 - -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) - -------------------------------------------------------------------------------- Black Hills (C) 6,102 $ 250 Cia de Saneamento de Minas Gerais-COPASA (Brazil) (D)* 7,000 114 Cleco 5,220 132 Consolidated Edison 2,485 115 DPL 4,050 106 Edison International (C) 1,900 105 El Paso Electric (C)* 2,700 62 Empire District Electric 2,725 62 Energen (C) 8,081 462 Equitable Resources 2,865 149 Idacorp 3,891 127 Integrys Energy Group 3,657 187 Laclede Group 2,105 68 New Jersey Resources 3,790 188 Nicor (C) 4,700 202 Northwest Natural Gas 3,509 160 NorthWestern 5,725 156 OGE Energy 3,209 106 Oneok 6,230 295 Ormat Technologies 3,425 159 PG&E (C) 1,700 81 PNM Resources 910 21 Portland General Electric (C) 8,877 247 Progress Energy 2,520 118 Puget Energy (C) 8,326 204 Reliant Energy* 6,650 170 SCANA 4,875 189 Sempra Energy (C) 2,400 140 Southwest Gas 5,432 154 TECO Energy 1,125 18 UGI 12,002 312 Unisource Energy 245 7 Vectren 7,204 197 WGL Holdings 2,210 75 Wisconsin Energy 6,140 277 -------------- 6,352 -------------- Total Common Stock (Cost $103,562) ($ Thousands) 104,341 -------------- PREFERRED STOCK -- 0.1% FINANCIALS -- 0.1% Thornburg Mortgage 2,903 81 -------------- Total Preferred Stock (Cost $73) ($ Thousands) 81 -------------- - -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Annual Report / September 30, 2007 119 SCHEDULE OF INVESTMENTS Small/Mid Cap Diversified Alpha Fund (Continued) September 30, 2007 - -------------------------------------------------------------------------------- Contracts/Face Amount Market Value Description ($ Thousands) ($ Thousands) - -------------------------------------------------------------------------------- PURCHASED OPTION -- 0.0% June 2008 U.S. Ten Year Treasury Call, Expires 06/16/08, Strike Price: $95.00* 7 $ 12 -------------- Total Purchased Option (Cost $3) ($ Thousands) 12 -------------- Number of Warrants --------- WARRANTS -- 0.0% Rentech, Expires 04/25/12 (I) (J)* 1,000 1 Titanium Asset Management, Expires 06/21/11* 8,400 9 -------------- Total Warrants (Cost $--) ($ Thousands) 10 -------------- U.S. GOVERNMENT AGENCY MORTGAGE-BACKED OBLIGATIONS -- 16.2% FHLMC 6.000%, 02/01/22 $ 2,641 2,675 FHLMC CMO STRIPS, Ser 232, Cl IO, IO 5.000%, 08/01/35 4,078 1,074 FNMA 5.500%, 10/01/22 1,000 967 5.000%, 07/01/35 to 05/01/36 2,205 2,107 FNMA (G) 5.580%, 03/12/08 275 270 5.345%, 11/02/07 975 971 FNMA CMO STRIPS, Ser 360, Cl 2, IO 5.000%, 08/01/35 746 196 FNMA TBA 6.500%, 10/01/37 to 11/15/37 2,000 2,035 6.000%, 10/20/21 to 11/01/37 2,000 2,037 5.500%, 10/15/22 6,300 6,284 5.000%, 10/01/22 1,000 1,006 GNMA ARM 5.000%, 04/20/35 328 327 4.500%, 03/20/37 1,244 1,238 -------------- Total U.S. Government Agency Mortgage-Backed Obligations (Cost $21,059) ($ Thousands) 21,187 -------------- - -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) - -------------------------------------------------------------------------------- ASSET-BACKED SECURITIES -- 11.5% MORTGAGE RELATED SECURITIES -- 11.5% American Home Mortgage Investment Trust, Ser 2004-3, Cl 2A (E) 3.590%, 03/01/08 $ 230 $ 227 American Home Mortgage Investment Trust, Ser 2005-1, Cl 4A1 (E) 4.992%, 10/01/07 118 119 American Home Mortgage Investment Trust, Ser 2005-4, Cl 5A (E) 5.350%, 10/25/07 529 523 Bear Stearns Alternative Trust, Ser 2004-12, Cl 2A2 (E) 5.011%, 10/01/07 309 307 Bear Stearns Asset-Backed Securities, Ser 2007-HE4, Cl 1A1 (E) 5.440%, 10/31/07 443 440 Carrington Mortgage Loan Trust, Ser 2007-FRE1, Cl A1 (E) 5.625%, 10/25/07 327 325 Citigroup Mortgage Loan Trust, Ser 2007-AR5, Cl 1A2A (E) 5.621%, 10/01/07 432 434 Countrywide Asset-Backed Certificates, Ser 2007-BC1, Cl M1 (E) 5.381%, 10/31/07 400 354 Countrywide Home Loans, Ser 2007-HYB1, Cl 1A1 (E) 5.569%, 10/01/07 446 447 Countrywide Home Loans, Ser 2007-HYB2, Cl 3A1 (E) 5.468%, 10/01/07 95 94 Credit-Based Asset Servicing, Ser 2007-CB3, Cl A1 (F) 5.766%, 03/25/37 5 5 Credit-Based Asset Servicing, Ser 2007-CB4, Cl A1A (E) 5.595%, 10/27/07 452 447 Credit-Based Asset Servicing, Ser 2007-CB4, Cl A2A (F) 5.844%, 04/25/37 452 449 First Franklin Mortgage Loan Asset, Ser 2006-FF12, Cl A2 (E) 5.545%, 10/25/07 187 185 First Franklin Mortgage Loan, Ser 2006-FF14, Cl A2 (E) 5.565%, 10/25/07 429 423 GMAC Mortgage Loan Trust, Ser 2007-HE1, Cl A2 (E) 5.621%, 08/25/37 216 214 - -------------------------------------------------------------------------------- 120 SEI Institutional Managed Trust / Annual Report / September 30, 2007 - -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) - -------------------------------------------------------------------------------- GS Mortgage Securities, Ser 2007-GG10, Cl A4 (E) 5.993%, 08/10/45 $ 100 $ 102 GSAMP Trust, Ser 2007-HE2, Cl A2A (E) 5.440%, 10/20/07 344 341 Home Equity Mortgage Trust, Ser 2007-2, Cl 2A1A (E) 5.650%, 10/31/07 448 442 Impac Secured Assets CMO Owners Trust, Ser 2007-2, Cl 1A1A (E) 5.615%, 05/25/37 380 378 Impac Secured Assets CMO Owners Trust, Ser 2007-3, Cl 1A1A (E) 5.241%, 10/31/07 462 460 Indymac Residential Asset-Backed Trust, Ser 2007-A, Cl 2A1 (E) 5.261%, 10/12/07 326 324 JPMorgan Chase Commercial Mortgage Securities, Ser 2006-CB17, Cl A4 5.429%, 12/12/43 200 198 Lehman XS Trust, Ser 2007-4N, Cl 1A1 (E) 5.450%, 03/25/47 362 359 Merrill Lynch Mortgage Investors, Ser 2005-A4, Cl 1A (E) 5.136%, 10/01/07 221 225 Merrill Lynch Mortgage Investors, Ser 2007-HE2, Cl A2A (E) 5.625%, 10/30/07 374 371 Merrill Lynch Mortgage Investors, Ser 2007-MLN1, Cl A2A (E) 5.241%, 10/26/07 501 497 Morgan Stanley Mortgage Loan Trust, Ser 2007-11AR, Cl 2A5 (E) 6.000%, 10/01/07 97 97 Novastar Home Equity Loan, Ser 2007-1, Cl A2A1 (E) 5.420%, 10/31/07 351 347 Option One Mortgage Loan Trust, Ser 2007-5, Cl 2A1 (E) 5.221%, 10/27/07 459 456 Option One Mortgage Loan Trust, Ser 2007-HL1, Cl 2A1 (E) 5.625%, 10/26/07 455 452 RAAC, Ser 2007-SP1, Cl A1 (E) 5.655%, 10/10/07 328 325 Renaissance Home Equity Loan Trust, Ser 2007-1, Cl AV1 (E) 5.261%, 10/29/07 345 342 - -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) - -------------------------------------------------------------------------------- Residential Asset Securities, Ser 2007-KS3, Cl A1A (E) 5.241%, 04/25/37 $ 373 $ 371 Residential Funding Mortgage Securities, Ser 2007-HI1, Cl A1 (E) 5.450%, 03/25/37 346 343 Securitized Asset-Backed Receivables LLC, Ser 2007-HE1, Cl M1 (E) 5.381%, 10/30/07 500 415 Structured Adjustable Rate Mortgage Loan, Ser 2007-3, Cl 2A1 (E) 5.983%, 10/01/07 490 495 Structured Adjustable Rate Mortgage Loan, Ser 2007-9, Cl 2A1 0.000%, 10/16/37 500 501 Structured Asset Investment Loan, Ser 2003-BC4, Cl M2 (E) 8.320%, 10/25/07 80 75 Structured Asset Securities Corporation, Ser 2007-EQ1, Cl A2 (E) 5.221%, 10/31/07 448 444 Washington Mutual Mortgage Pass- Through Certificates, Ser 2007-HY2, Cl 1A1 (E) 5.776%, 04/25/37 470 476 Washington Mutual Mortgage Pass- Through Certificates, Ser 2007-HY4, Cl 1A1 (E) 5.560%, 10/01/07 367 366 Washington Mutual Mortgage Pass- Through Certificates, Ser 2007-HY6, Cl 1A1 (E) 5.707%, 06/25/37 377 375 Wells Fargo Home Equity Trust, Ser 2007-2, Cl A1 5.595%, 10/20/07 477 473 -------------- Total Asset-Backed Securities (Cost $15,245) ($ Thousands) 15,043 -------------- CORPORATE OBLIGATIONS -- 0.6% CONSUMER DISCRETIONARY -- 0.1% Time Warner 6.875%, 05/01/12 70 73 -------------- ENERGY -- 0.0% Weatherford International (H) 5.950%, 06/15/12 20 20 -------------- - -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Annual Report / September 30, 2007 121 SCHEDULE OF INVESTMENTS Small/Mid Cap Diversified Alpha Fund (Continued) September 30, 2007 - -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands)/Shares ($ Thousands) - -------------------------------------------------------------------------------- FINANCIALS -- 0.4% CIT Group 5.000%, 02/13/14 $ 85 $ 77 Capmark Financial Group (H) 6.300%, 05/10/17 5 4 5.875%, 05/10/12 10 9 Discover Financial Services (H) 6.450%, 06/12/17 10 10 Genworth Financial 5.650%, 06/15/12 60 61 HSBC Finance 6.375%, 10/15/11 70 72 Lehman Brothers Holdings MTN 5.250%, 02/06/12 65 64 Morgan Stanley MTN, Ser G 5.660%, 10/04/07 100 97 Prudential Financial MTN 5.800%, 06/15/12 20 20 Residential Capital LLC 6.500%, 04/17/13 195 158 iStar Financial, Ser 1 5.875%, 03/15/16 45 40 -------------- 612 -------------- INDUSTRIALS -- 0.0% US Steel 5.650%, 06/01/13 15 15 -------------- TELECOMMUNICATION SERVICES -- 0.0% Vodafone Group PLC 5.350%, 02/27/12 15 15 -------------- UTILITIES -- 0.1% Exelon Generation 6.950%, 06/15/11 70 73 -------------- Total Corporate Obligations (Cost $865) ($ Thousands) 808 -------------- CONVERTIBLE BOND -- 0.1% Nova BioSource CV to 273.2240 10.000%, 09/30/12 153 153 -------------- Total Convertible Bond (Cost $153) ($ Thousands) 153 -------------- CASH EQUIVALENT**++ -- 8.1% SEI Daily Income Trust, Prime Obligation Fund, Cl A, 5.350% 10,566,416 10,566 -------------- Total Cash Equivalent (Cost $10,566) ($ Thousands) 10,566 -------------- - -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands)/Shares ($ Thousands) - -------------------------------------------------------------------------------- U.S. TREASURY OBLIGATIONS -- 0.4% U.S. Treasury Bills (A) (B) 4.017%, 11/23/07 $ 320 $ 318 3.900%, 12/20/07 20 20 U.S. Treasury Bonds TIPS 2.375%, 04/15/11 182 184 -------------- Total U.S. Treasury Obligations (Cost $519) ($ Thousands) 522 -------------- Total Investments -- 116.8% (Cost $152,045) ($ Thousands) $ 152,723 ============== COMMON STOCK SOLD SHORT -- (5.9)% CONSUMER DISCRETIONARY -- (1.9)% Ambassadors International (1,300) (32) Beazer Homes USA (1,300) (11) Borders Group (7,100) (95) Cache* (9,007) (161) California Coastal Communities* (9,496) (117) Carmax* (4,780) (97) Century Casinos* (19,993) (122) Corinthian Colleges* (7,900) (126) Cosi* (5,241) (18) Directed Electronics* (17,273) (69) Fleetwood Enterprises* (5,600) (48) Furniture Brands International (9,600) (97) H&R Block (8,700) (184) Lakes Entertainment* (12,470) (119) Levitt, Cl A (17,455) (35) Lifetime Brands (4,467) (91) Lithia Motors, Cl A (5,600) (96) M/I Homes (1,300) (18) MarineMax* (11,532) (168) Peets Coffee & Tea* (5,752) (161) Pier 1 Imports (4,800) (23) Quiksilver* (3,700) (53) Ruth's Chris Steak House* (3,658) (52) Scientific Games, Cl A* (1,300) (49) Standard-Pacific (4,500) (25) Tivo* (9,976) (62) Toll Brothers* (6,600) (132) Urban Outfitters* (1,325) (28) Visteon* (5,700) (28) Zale* (8,200) (190) -------------- (2,507) -------------- CONSUMER STAPLES -- (0.1)% Medifast* (11,788) (66) Rite Aid* (18,073) (83) -------------- (149) -------------- - -------------------------------------------------------------------------------- 122 SEI Institutional Managed Trust / Annual Report / September 30, 2007 - -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) - -------------------------------------------------------------------------------- ENERGY -- (0.3)% Crosstex Energy (1,700) $ (64) Harvest Natural Resources* (1,700) (20) Peabody Energy (2,900) (139) Petroleum Development* (2,600) (115) TXCO Resources* (2,300) (21) Warren Resources* (2,100) (26) World Fuel Services (700) (29) -------------- (414) -------------- FINANCIALS -- (0.6)% Baldwin & Lyons, Cl B (415) (11) Cardinal Financial (6,973) (70) Cousins Properties+ (1,300) (38) Healthcare Realty Trust+ (1,600) (43) Maguire Properties+ (3,900) (101) Meruelo Maddux Properties* (2,800) (17) Plum Creek Timber+ (4,500) (202) PMA Capital, Cl A* (10,952) (104) Post Properties+ (300) (12) Thomas Weisel Partners Group* (1,600) (23) Westfield Financial (8,674) (84) White Mountains Insurance Group (140) (73) Yardville National Bancorp (1,459) (48) -------------- (826) -------------- HEALTH CARE -- (0.6)% Abiomed* (3,000) (37) Akorn* (1,600) (12) BioMimetric Therapeutics* (1,400) (19) Cadence Pharmaceuticals* (1,800) (25) DexCom* (1,417) (14) Five Star Quality Care* (13,954) (115) I-Flow* (1,400) (26) Keryx Biopharmaceuticals* (873) (9) Metabolix* (3,100) (75) Minrad International* (25,141) (120) Northstar Neuroscience* (2,700) (30) NxStage Medical* (1,400) (20) Omnicare (700) (23) Spectranetics* (10,923) (147) Stereotaxis* (2,500) (35) Volcano* (1,000) (17) -------------- (724) -------------- INDUSTRIALS -- (0.8)% Albany International, Cl A (700) (26) Casella Waste Systems, Cl A* (1,900) (24) Donaldson (3,334) (139) Flanders* (21,323) (97) Healthcare Services Group (2,600) (53) - -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) - -------------------------------------------------------------------------------- Innovative Solutions & Support* (4,572) $ (87) Insituform Technologies, Cl A* (4,800) (73) Insteel Industries (7,323) (112) Owens Corning* (3,000) (75) People Support* (12,197) (146) Tecumseh Products, Cl A* (3,400) (66) Titan International (4,700) (150) -------------- (1,048) -------------- INFORMATION TECHNOLOGY -- (0.6)% Akamai Technologies* (730) (21) DTS* (5,321) (162) Echelon* (1,500) (38) Hypercom* (11,565) (52) Iron Mountain* (487) (15) LivePerson* (19,452) (120) Online Resources* (8,927) (113) PDF Solutions* (2,722) (27) Red Hat* (1,417) (28) Rogers* (3,800) (156) SourceForge* (29,298) (71) -------------- (803) -------------- MATERIALS -- (0.5)% Glatfelter (11,037) (164) Louisiana-Pacific (9,300) (158) Royal Gold (2,337) (76) Stillwater Mining* (5,300) (55) Titanium Metals (3,810) (128) -------------- (581) -------------- TELECOMMUNICATION SERVICES -- (0.0)% Cogent Communications Group* (1,700) (41) -------------- UTILITIES -- (0.5)% California Water Service Group (2,630) (101) EnergySouth (2,693) (136) Integrys Energy Group (3,100) (159) ITC Holdings (1,400) (69) Laclede Group (900) (29) SJW (2,548) (87) South Jersey Industries (900) (32) -------------- (613) -------------- Total Common Stock Sold Short (Proceeds $(8,591)) ($ Thousands) (7,706) -------------- - -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Annual Report / September 30, 2007 123 SCHEDULE OF INVESTMENTS Small/Mid Cap Diversified Alpha Fund (Concluded) September 30, 2007 - -------------------------------------------------------------------------------- Market Value Description Contracts ($ Thousands) - -------------------------------------------------------------------------------- WRITTEN OPTION -- 0.0% June 2008 U.S. Ten Year Treasury Call, Expires 06/16/08, Strike Price: $95.50* (7) $ (7) ------------- Total Written Option (Proceeds Received $(1)) ($ Thousands) (7) ------------- Number of Rights --------- RIGHTS -- 0.0% Levitt, Expires 10/1/2007* (87,998) (1) ------------- Total Rights (Proceeds $--) ($ Thousands) (1) ------------- A summary of the open futures contracts held by the Fund at September 30, 2007, is as follows (see Note 2 in Notes to Financial Statements): - -------------------------------------------------------------------------------- UNREALIZED APPRECIATION TYPE OF NUMBER OF EXPIRATION (DEPRECIATION) CONTRACT CONTRACTS DATE ($ THOUSANDS) - -------------------------------------------------------------------------------- 90-Day Euro$ (8) Mar-2008 $ (4) 90-Day Euro$ (6) Mar-2009 (4) 90-Day Euro$ (7) Mar-2010 (1) 90-Day Euro$ (7) Mar-2011 1 90-Day Euro$ (6) Mar-2012 2 90-Day Euro$ 5 Jun-2008 9 90-Day Euro$ 11 Jun-2009 8 90-Day Euro$ (25) Jun-2010 (6) 90-Day Euro$ (6) Jun-2011 1 90-Day Euro$ (1) Jun-2012 -- 90-Day Euro$ (4) Sep-2008 (3) 90-Day Euro$ 11 Sep-2009 6 90-Day Euro$ (7) Sep-2010 -- 90-Day Euro$ (6) Sep-2011 1 90-Day Euro$ 1 Sep-2012 -- 90-Day Euro$ (18) Dec-2007 (5) 90-Day Euro$ (20) Dec-2008 (21) 90-Day Euro$ (7) Dec-2009 (2) 90-Day Euro$ (7) Dec-2010 -- 90-Day Euro$ (6) Dec-2011 2 Russell 2000 Index E-MINI 182 Dec-2007 26 S&P 400 Index E-MINI 180 Dec-2007 117 U.S. 2-Year Note 3 Dec-2007 4 U.S. 5-Year Note (16) Dec-2007 (5) U.S. 10-Year Note 14 Dec-2007 11 ------ $ 137 ====== A summary of outstanding swap agreements held by the Fund at September 30, 2007, is as follows (see Note 2 in Notes to Financial Statements):
- --------------------------------------------------------------------------------------------------------------------- TOTAL RETURN SWAPS - --------------------------------------------------------------------------------------------------------------------- NET UNREALIZED NOTIONAL APPRECIATION EXPIRATION AMOUNT (DEPRECIATION) DESCRIPTION DATE ($ THOUSANDS) ($ THOUSANDS) - --------------------------------------------------------------------------------------------------------------------- The Fund receives payment on the monthly reset spread from Bank of America--CMBS AAA 10 YR Index plus 20 basis points times the notional amount. The Fund receives payment if the return on the spread appreciates over the payment period and pays if the return on the spread depreciates over the payment period. (Counter Party: Goldman Sachs International) 10/31/07 $ 4,000 $ 14 The Fund receives payment on the monthly reset spread from Bank of America--CMBS AAA 10 YR Index minus 10 basis points times the notional amount. The Fund receives payment if the return on the spread appreciates over the payment period and pays if the return on the spread depreciates over the payment period. (Counter Party: Goldman Sachs International) 02/29/08 4,000 14 The Fund delivers payment on the monthly reset spread from Lehman Brothers--CMBS AAA 8.5 Index plus 35 basis points times the notional amount. The Fund delivers payment if the return on the spread appreciates over the payment period and receives payment if the return on the spread depreciates over the payment period. (Counter Party: Wachovia) 11/01/07 (3,000) (18) The Fund receives payment on the monthly reset spread from Lehman Brothers--CMBS AAA 8.5 Index plus 10 basis points times the notional amount. The Fund receives payment if the return on the spread appreciates over the payment period and pays if the return on the spread depreciates over the payment period. (Counter Party: Wachovia) 12/31/07 8,000 49 ------ $ 59 ======
- --------------------------------------------------------------------------------------------------------------------- CREDIT DEFAULT SWAPS - --------------------------------------------------------------------------------------------------------------------- NET UNREALIZED NOTIONAL APPRECIATION EXPIRATION AMOUNT (DEPRECIATION) DESCRIPTION DATE ($ THOUSANDS) ($ THOUSANDS) - --------------------------------------------------------------------------------------------------------------------- Fund receives a monthly payment of 0.013% (0.150% per annum) times notional amount of ABX.HE.AA 07-1 Index. Upon a defined credit event the Fund pays the notional amount and takes receipt of the deliverable obligation. (Counter Party: Bank of America) 08/25/37 $ (250) $ 4 Fund receives a monthly payment of 0.053% (0.640% per annum) times notional amount of ABX.HE.A 07-1 Index. Upon a defined credit event the Fund pays the notional amount and takes receipt of the deliverable obligation. (Counter Party: Bank of America) 08/25/37 (1,000) (406) Fund receives a monthly payment of 0.053% (0.640% per annum) times notional amount of ABX.HE.A 07-1 Index. Upon a defined credit event the Fund pays the notional amount and takes receipt of the deliverable obligation. (Counter Party: Barclays) 07/25/45 (550) (172) Fund receives a monthly payment of 0.053% (0.64% per annum) times notional amount of ABX.HE.A 07-1 Index. Upon a defined credit event the Fund pays the notional amount and takes receipt of the deliverable obligation. (Counter Party: JPMorgan Chase) 08/25/37 (500) (217) Fund receives a monthly payment of 0.037% (0.440% per annum) times notional amount of ABX.HE.A 06-2 Index. Upon a defined credit event the Fund pays the notional amount and takes receipt of the deliverable obligation. (Counter Party: Bank of America) 05/24/46 (1,750) (508) Fund receives a monthly payment of 0.014% (0.170% per annum) times notional amount of ABX.HE.AA 06-2 Index. Upon a defined credit event the Fund pays the notional amount and takes receipt of the deliverable obligation. (Counter Party: Bank of America) 05/25/46 (250) 18
- -------------------------------------------------------------------------------- 124 SEI Institutional Managed Trust / Annual Report / September 30, 2007
- --------------------------------------------------------------------------------------------------------------------- NET UNREALIZED NOTIONAL APPRECIATION EXPIRATION AMOUNT (DEPRECIATION) DESCRIPTION DATE ($ THOUSANDS) ($ THOUSANDS) - --------------------------------------------------------------------------------------------------------------------- Fund receives a monthly payment of 0.014% (0.170% per annum) times notional amount of ABX.HE.AA 06-2 Index. Upon a defined credit event the Fund pays the notional amount and takes receipt of the deliverable obligation. (Counter Party: Barclays) 05/25/46 $ (250) $ (4) Fund receives a monthly payment of 0.014% (0.17% per annum) times notional amount of ABX.HE.AA 06-2 Index. Upon a defined credit event the Fund pays the notional amount and takes receipt of the deliverable obligation. (Counter Party: Wachovia) 05/25/46 (1,000) 104 Fund receives a monthly payment of 0.014% (0.17% per annum) times notional amount of ABX.HE.AA 06-2 Index. Upon a defined credit event the Fund pays the notional amount and takes receipt of the deliverable obligation. (Counter Party: Wachovia) 05/25/46 (340) 42 Fund receives a monthly payment of 0.013% (0.150% per annum) times notional amount of ABX.HE.AA 07-1 Index. Upon a defined credit event the Fund pays the notional amount and takes receipt of the deliverable obligation. (Counter Party: JPMorgan Chase) 08/25/37 (1,700) (46) Fund receives a monthly payment of 0.013% (0.150% per annum) times notional amount of ABX.HE.AA 07-1 Index. Upon a defined credit event the Fund pays the notional amount and takes receipt of the deliverable obligation. (Counter Party: JPMorgan Chase) 08/25/37 (900) (14) Fund receives a monthly payment of 0.045% (0.540% per annum) times notional amount of ABX.HE.A 06-1 Index. Upon a defined credit event the Fund pays the notional amount and takes receipt of the deliverable obligation. (Counter Party: Wachovia) 07/25/45 (150) (16) --------- $ (1,215) =========
Percentages are based on Net Assets of $130,707 ($ Thousands). * Non-Income Producing Security. ** Rate shown is the 7-day effective yield as of September 30, 2007. + Real Estate Investment Trust. ++ Investment in Affiliated Security (see Note 3). (A) Security, or portion thereof, has been pledged as collateral on open futures contracts. (B) The rate reported is the effective yield at time of purchase. (C) All or a portion of this security has been pledged as collateral for securities sold short. The total market value of collateral for securities sold short at September 30, 2007 was $32,160 ($ Thousands). (D) This security is traded on a foreign stock exchange. The total market value of such securities as of September 30, 2007 was $3,428 ($ Thousands) and represented 2.62% of Net Assets. (E) Variable Rate Security -- The rate reported on the Schedule of Investments is the rate in effect as of September 30, 2007. (F) Step Bonds -- The rate reflected on the Schedule of Investments is the effective yield on September 30, 2007. The coupon on a step bond changes on a specified date. (G) Zero Coupon Bond -- The rate shown is the effective yield at time of purchase. (H) Security sold within the terms of a private placedment memorandum, exempt from registration under section 144A of the Securities Act of 1933, as amended, and may be sold only to dealers in that program or other "accredited investors." These securities have been determined to be liquid under guidelines established by the Board of Trustees. (I) Security fair valued using methods determined in good faith by the Valuation Committee of the Board of Trustees. The total market value of such securities as of September 30, 2007 was $420 ($ Thousands) and represented 0.32% of Net Assets. (J) Security considered illiquid and restricted. The total market value of such securities at September 30, 2007 was $420 ($ Thousands) and represented 0.32% of Net Assets. - -------------------------------------------------------------------------------- Description - -------------------------------------------------------------------------------- ADR -- American Depositary Receipt ARM -- Adjustable Rate Mortgage Cl -- Class CMBS -- Commercial Mortgage-Backed Securities CMO -- Collateralized Mortgage Obligation CV -- Convertible Security FHLMC -- Federal Home Loan Mortgage Corporation FNMA -- Federal National Mortgage Association GNMA -- Government National Mortgage Association IO -- Interest Only LLC -- Limited Liability Company LP -- Limited Partnership Ltd. -- Limited MTN -- Medium Term Note PIPE -- Private Investment in Public Entity PLC -- Public Limited Company Ser -- Series STRIPS -- Separately Traded Registered Interest and Principal Securities TBA -- To Be Announced TIPS -- Treasury Inflation-Protected Securities Amounts designated as "--" are $0 or have been rounded to $0. The accompanying notes are an integral part of the financial statements. - -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Annual Report / September 30, 2007 125 SCHEDULE OF INVESTMENTS Mid-Cap Fund September 30, 2007 - -------------------------------------------------------------------------------- SECTOR WEIGHTINGS# (UNAUDITED): [THE FOLLOWING TABLE WAS REPRESENTED BY A BAR CHART IN THE PRINTED MATERIAL.] 17.7% Information Technology 17.1% Financials 13.4% Industrials 13.4% Consumer Discretionary 8.0% Health Care 7.1% Utilities 7.1% Energy 6.7% Materials 5.1% Consumer Staples 2.7% Telecommunication Services 1.6% Short-Term Investment 0.1% U.S. Treasury Obligation #Percentages based on total investments. - -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) - -------------------------------------------------------------------------------- COMMON STOCK -- 98.1% CONSUMER DISCRETIONARY -- 13.4% Abercrombie & Fitch, Cl A 200 $ 16 American Eagle Outfitters 3,300 87 AnnTaylor Stores* 17,000 538 Asbury Automotive Group 7,800 154 Autoliv 900 54 Autonation* 5,900 105 Big Lots* 29,100 868 Black & Decker 1,800 150 Boyd Gaming 20,200 866 Brinker International 44,100 1,210 Cheesecake Factory* 8,000 188 Coach* 4,900 232 Darden Restaurants 44,500 1,863 Discovery Holding, Cl A* 1,400 40 Dollar Tree Stores* 45,700 1,853 EchoStar Communications, Cl A* 48,200 2,256 Family Dollar Stores 3,900 104 Gannett 4,200 184 Goodyear Tire & Rubber* 500 15 H&R Block 2,800 59 Hanesbrands* 34,800 976 Harley-Davidson 3,500 162 Hasbro 26,500 739 IAC/InterActive* 4,600 136 International Speedway, Cl A 1,100 50 ITT Educational Services* 700 85 J.C. Penney 5,300 336 Jack in the Box* 3,000 194 Lamar Advertising, Cl A 5,700 279 Liberty Media Holding-Capital, Ser A* 1,800 225 Limited Brands 1,000 23 Mattel 78,700 1,846 McGraw-Hill 1,000 51 Meredith 16,900 968 Newell Rubbermaid 2,100 61 - -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) - -------------------------------------------------------------------------------- Nordstrom 6,600 $ 309 Nutri/System* 14,200 666 NVR* 2,600 1,223 Penn National Gaming* 1,400 83 PetSmart 5,600 179 RadioShack 37,200 769 Regal Entertainment Group, Cl A 76,500 1,679 Snap-On 4,000 198 Steven Madden 9,200 174 TJX 18,400 535 TRW Automotive Holdings* 7,600 241 VF 3,900 315 Weight Watchers International 500 29 Whirlpool 3,500 312 Wolverine World Wide 2,300 63 Wyndham Worldwide 9,900 324 Wynn Resorts 1,500 236 Yum! Brands 5,200 176 -------------- 24,484 -------------- CONSUMER STAPLES -- 5.1% Campbell Soup 5,600 207 Clorox 4,600 281 Coca-Cola Enterprises 68,700 1,664 Constellation Brands, Cl A* 6,600 160 Corn Products International 18,800 862 Energizer Holdings* 500 55 Herbalife 5,300 241 HJ Heinz 2,500 116 Kroger 5,900 168 Molson Coors Brewing, Cl B 13,700 1,366 NBTY* 36,900 1,498 Nu Skin Enterprises, Cl A 13,000 210 Pepsi Bottling Group 16,000 595 Safeway 43,100 1,427 Sara Lee 1,100 18 Supervalu 7,800 304 Tyson Foods, Cl A 6,700 120 -------------- 9,292 -------------- ENERGY -- 7.1% Cameron International* 4,900 452 Chesapeake Energy 11,800 416 El Paso 83,000 1,409 FMC Technologies* 5,800 334 Frontier Oil 700 29 Global Industries* 18,700 482 Helmerich & Payne 5,400 177 Hess 6,800 452 Holly 6,900 413 Hornbeck Offshore Services* 4,300 158 Murphy Oil 5,800 405 - -------------------------------------------------------------------------------- 126 SEI Institutional Managed Trust / Annual Report / September 30, 2007 - -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) - -------------------------------------------------------------------------------- National Oilwell Varco* 9,900 $ 1,431 Noble 20,600 1,011 Noble Energy 34,600 2,423 SEACOR Holdings* 15,400 1,465 Spectra Energy 1,300 32 Sunoco 4,900 347 Tidewater 24,300 1,527 Western Refining 300 12 Williams 3,000 102 -------------- 13,077 -------------- FINANCIALS -- 17.0% Affiliated Managers Group* 14,700 1,874 AMBAC Financial Group 4,900 308 American Financial Group 9,200 262 Annaly Capital Management+ 119,700 1,907 Arch Capital Group* 2,700 201 Axis Capital Holdings 7,900 307 Bank of Hawaii 12,500 661 Brandywine Realty Trust+ 10,400 263 Castlepoint Holdings 5,000 58 CB Richard Ellis Group, Cl A* 54,900 1,528 CBRE Realty Finance+* 1,800 11 CIT Group 7,400 298 CNA Financial 41,100 1,616 Colonial BancGroup 12,000 259 Colonial Properties Trust+ 1,000 34 Comerica 28,700 1,472 Community Bancorp* 800 20 Crystal River Capital+ 6,200 104 Duke Realty+ 4,500 152 East West Bancorp 9,600 345 Endurance Specialty Holdings 23,100 960 Everest Re Group 1,300 143 First Marblehead 4,000 152 General Growth Properties+ 7,300 391 Genworth Financial, Cl A 13,300 409 Gramercy Capital+ 1,900 48 Health Care+ 44,400 1,964 Hospitality Properties Trust+ 48,500 1,972 Hudson City Bancorp 19,900 306 Huntington Bancshares 17,500 297 iStar Financial+ 52,600 1,788 Janus Capital Group 11,400 322 Jones Lang LaSalle 17,700 1,819 Keycorp 8,900 288 Lazard, Cl A 2,100 89 Legg Mason 23,000 1,939 Leucadia National 3,200 154 MBIA 5,300 324 MGIC Investment 5,300 171 - -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) - -------------------------------------------------------------------------------- National City 700 $ 18 Nationwide Financial Services, Cl A 33,100 1,782 Newcastle Investment+ 8,500 150 NorthStar Realty Finance+ 24,100 239 Philadelphia Consolidated Holding* 12,700 525 Popular 22,400 275 Radian Group 700 16 Safeco 2,400 147 Synovus Financial 29,100 816 TD Ameritrade Holding* 16,000 292 Thomas Properties Group 3,000 36 Torchmark 11,800 735 Transatlantic Holdings 6,400 450 Wilmington Trust 500 20 WR Berkley 4,500 133 XL Capital, Cl A 5,100 404 -------------- 31,254 -------------- HEALTH CARE -- 8.0% AmerisourceBergen 800 36 Cephalon* 4,900 358 Cerner* 1,800 108 Charles River Laboratories International* 200 11 Cigna 11,400 607 Covance* 4,000 312 Coventry Health Care* 34,600 2,152 Dentsply International 5,000 208 Express Scripts* 6,600 368 Forest Laboratories* 37,200 1,387 Health Net* 6,400 346 Hillenbrand Industries 500 28 Humana* 34,100 2,383 Idexx Laboratories* 2,200 241 Intuitive Surgical* 2,200 506 Invitrogen* 5,300 433 Kinetic Concepts* 31,500 1,773 King Pharmaceuticals* 36,300 425 Laboratory of America Holdings* 4,000 313 PDL BioPharma* 8,400 182 PerkinElmer 4,300 126 Providence Service* 2,300 68 Quidel* 7,100 139 St. Jude Medical* 5,200 229 Techne* 7,200 454 Waters* 9,500 636 WellCare Health Plans* 7,700 812 -------------- 14,641 -------------- - -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Annual Report / September 30, 2007 127 SCHEDULE OF INVESTMENTS Mid-Cap Fund (Concluded) September 30, 2007 - -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) - -------------------------------------------------------------------------------- INDUSTRIALS -- 13.3% Acuity Brands 2,200 $ 111 AGCO* 18,600 944 Alliant Techsystems* 2,200 240 Allied Waste Industries* 106,300 1,355 American Standard 34,700 1,236 AMR* 6,100 136 Con-way 29,500 1,357 Continental Airlines, Cl B* 9,600 317 Cooper Industries, Cl A 1,800 92 Cummins 4,000 512 Dover 500 25 Eaton 22,000 2,179 EMCOR Group* 1,600 50 Fluor 1,100 158 Gardner Denver* 46,500 1,813 Harsco 30,100 1,784 Hertz Global Holdings* 46,200 1,050 HNI 1,000 36 Hubbell, Cl B 2,800 160 Ingersoll-Rand, Cl A 5,700 310 ITT 4,000 272 Jacobs Engineering Group* 700 53 L-3 Communications Holdings 16,800 1,716 Labor Ready* 11,500 213 Manitowoc 16,400 726 Manpower 7,600 489 Masco 13,400 310 MSC Industrial Direct, Cl A 3,000 152 Parker Hannifin 19,500 2,181 Pitney Bowes 4,900 223 Precision Castparts 2,000 296 Republic Services 10,400 340 Robert Half International 9,100 272 Rockwell Automation 4,900 341 Rockwell Collins 1,400 102 Roper Industries 1,500 98 RR Donnelley & Sons 600 22 Ryder System 400 20 Stericycle* 7,100 406 Terex* 400 36 Thomas & Betts* 18,300 1,073 Trinity Industries 7,500 282 UAL* 17,800 828 United Industrial 2,100 158 -------------- 24,474 -------------- INFORMATION TECHNOLOGY -- 17.7% Activision* 2,700 58 Affiliated Computer Services, Cl A* 1,700 85 Agilent Technologies* 14,100 520 Altera 11,500 277 - -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) - -------------------------------------------------------------------------------- Amphenol, Cl A 18,700 $ 744 Avnet* 23,700 945 BMC Software* 43,900 1,371 Broadridge Financial Solutions 67,000 1,270 CA 200 5 Cadence Design Systems* 16,600 368 Ciena* 1,600 61 Cognizant Technology Solutions, Cl A* 100 8 CommScope* 1,200 60 Computer Sciences* 21,900 1,224 Compuware* 3,900 31 Convergys* 83,800 1,455 Dolby Laboratories, Cl A* 10,200 355 DST Systems* 1,000 86 Electronic Data Systems 97,800 2,136 Exar* 17,900 234 Fiserv* 3,400 173 Harris 12,500 722 Ingram Micro, Cl A* 4,800 94 Integrated Device Technology* 90,600 1,402 Intersil, Cl A 8,300 277 Intuit* 13,500 409 Juniper Networks* 11,800 432 Kla-Tencor 7,300 407 Lam Research* 35,800 1,907 MEMC Electronic Materials* 29,800 1,754 Mettler Toledo International* 21,800 2,224 National Instruments 2,500 86 National Semiconductor 8,500 231 Network Appliance* 9,300 250 Nvidia* 25,500 924 Seagate Technology 45,600 1,166 Silicon Laboratories* 300 13 SPSS* 3,200 132 Symantec* 15,100 293 Synopsys* 69,600 1,885 Teradyne* 47,300 653 Varian Semiconductor Equipment Associates* 5,500 294 Vishay Intertechnology* 55,500 723 Western Digital* 72,900 1,846 Xerox* 142,300 2,467 Xilinx 12,700 332 -------------- 32,389 -------------- MATERIALS -- 6.7% AK Steel Holding* 11,800 518 Albemarle 46,700 2,064 Ball 4,500 242 Celanese, Ser A 39,000 1,520 Commercial Metals 1,000 32 - -------------------------------------------------------------------------------- 128 SEI Institutional Managed Trust / Annual Report / September 30, 2007 - -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) - -------------------------------------------------------------------------------- Eastman Chemical 5,300 $ 354 Ecolab 8,600 406 FMC 32,400 1,685 Lubrizol 10,400 677 Mosaic* 5,600 300 Owens-Illinois* 2,200 91 Packaging of America 6,700 195 Pactiv* 62,000 1,777 PPG Industries 3,300 249 Reliance Steel & Aluminum 1,900 107 Smurfit-Stone Container* 10,000 117 Sonoco Products 44,400 1,340 Steel Dynamics 600 28 United States Steel 2,200 233 Valspar 9,800 267 -------------- 12,202 -------------- TELECOMMUNICATION SERVICES -- 2.7% American Tower, Cl A* 800 35 CenturyTel 6,100 282 Embarq 29,100 1,618 Qwest Communications International* 101,500 930 US Cellular* 17,800 1,748 USA Mobility 1,800 30 Windstream 25,400 358 -------------- 5,001 -------------- UTILITIES -- 7.1% AES* 112,000 2,245 Alliant Energy 900 35 American Electric Power 1,200 55 Atmos Energy 5,000 142 Centerpoint Energy 75,300 1,207 Consolidated Edison 9,400 435 Constellation Energy Group 4,000 343 Edison International 46,800 2,595 Energen 33,300 1,902 Mirant* 5,000 203 NiSource 17,100 327 NRG Energy* 6,800 288 Pepco Holdings 12,500 339 PG&E 46,200 2,208 Portland General Electric 800 22 Progress Energy 4,400 206 SCANA 1,900 74 Sempra Energy 5,800 337 -------------- 12,963 -------------- Total Common Stock (Cost $172,556) ($ Thousands) 179,777 -------------- - -------------------------------------------------------------------------------- Shares/Face Amount Market Value Description ($ Thousands) ($ Thousands) - -------------------------------------------------------------------------------- CASH EQUIVALENT**++ -- 1.6% SEI Daily Income Trust, Prime Obligation Fund, Cl A, 5.350% 2,935,953 $ 2,936 -------------- Total Cash Equivalent (Cost $2,936) ($ Thousands) 2,936 -------------- U.S. TREASURY OBLIGATION (A) (B) -- 0.1% U.S. Treasury Bills 3.880%, 11/23/07 $ 145 144 -------------- Total U.S. Treasury Obligation (Cost $144) ($ Thousands) 144 -------------- Total Investments -- 99.8% (Cost $175,636) ($ Thousands) $ 182,857 ============== A summary of the open futures contracts held by the Fund at September 30, 2007, is as follows (see Note 2 in Notes to Financial Statements): - -------------------------------------------------------------------------------- UNREALIZED TYPE OF NUMBER OF CONTRACTS EXPIRATION APPRECIATION CONTRACT LONG (SHORT) DATE ($ THOUSANDS) - -------------------------------------------------------------------------------- S&P 400 Index E-MINI 25 Dec-2007 $ 70 ==== Percentages are based on Net Assets of $183,287 ($ Thousands). * Non-Income Producing Security. ** Rate shown is the 7-day effective yield as of September 30, 2007. + Real Estate Investment Trust. ++ Investment in Affiliated Security (see Note 3). (A) Security, or portion thereof, has been pledged as collateral on open futures contracts. (B) The rate reported is the effective yield at time of purchase. Cl -- Class Ser -- Series The accompanying notes are an integral part of the financial statements. - -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Annual Report / September 30, 2007 129 SCHEDULE OF INVESTMENTS U.S. Managed Volatility Fund September 30, 2007 - -------------------------------------------------------------------------------- SECTOR WEIGHTINGS# (UNAUDITED): [THE FOLLOWING TABLE WAS REPRESENTED BY A BAR CHART IN THE PRINTED MATERIAL.] 19.1% Health Care 12.9% Consumer Staples 11.7% Financials 10.9% Industrials 9.3% Utilities 7.2% Information Technology 7.2% Consumer Discretionary 6.8% Energy 5.7% Telecommunication Services 5.3% Short-Term Investment 3.7% Materials 0.2% U.S. Treasury Obligation #Percentages based on total investments. - -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) - -------------------------------------------------------------------------------- COMMON STOCK -- 94.4% CONSUMER DISCRETIONARY -- 7.2% Autoliv 40,600 $ 2,426 Belo, Cl A 16,100 279 Career Education* 44,000 1,232 Choice Hotels International 57,300 2,158 Dillard's, Cl A 55,500 1,212 DIRECTV Group* 103,500 2,513 Genuine Parts 45,700 2,285 Harte-Hanks 28,900 569 International Speedway, Cl A 26,900 1,234 ITT Educational Services* 21,900 2,665 J.C. Penney 16,300 1,033 Jack in the Box* 7,500 486 Lamar Advertising, Cl A 41,491 2,032 Liberty Media Holding-Capital, Ser A* 16,008 1,998 Pacific Sunwear of California* 24,700 366 Panera Bread, Cl A* 8,400 343 Penn National Gaming* 42,300 2,497 Polaris Industries 13,300 580 Shaw Communications, Cl B* 97,600 2,424 TRW Automotive Holdings* 72,800 2,306 VF 21,338 1,723 Washington Post, Cl B 8,179 6,566 Weight Watchers International 41,400 2,383 Yum! Brands 24,600 832 -------------- 42,142 -------------- CONSUMER STAPLES -- 12.9% Altria Group 28,219 1,962 Anheuser-Busch 26,300 1,315 Campbell Soup 17,868 661 Church & Dwight 44,600 2,098 Coca-Cola 79,299 4,557 Costco Wholesale 16,439 1,009 General Mills 164,398 9,537 Hansen Natural* 47,100 2,670 - -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) - -------------------------------------------------------------------------------- Herbalife 11,514 $ 523 Hershey 49,100 2,279 HJ Heinz 14,100 651 Hormel Foods 253,819 9,082 JM Smucker 36,500 1,950 Kellogg 167,776 9,395 Kimberly-Clark 31,730 2,229 McCormick 96,334 3,465 Molson Coors Brewing, Cl B 17,000 1,694 Pepsi Bottling Group 100,237 3,726 PepsiAmericas 62,624 2,032 PepsiCo 82,134 6,017 Reynolds American 89,819 5,712 UST 7,100 352 Wal-Mart Stores 36,219 1,581 WM Wrigley Jr. 14,400 925 -------------- 75,422 -------------- ENERGY -- 6.8% Cameco 57,200 2,645 Chevron 87,527 8,191 Enbridge 59,900 2,196 Exxon Mobil 31,600 2,925 Holly 28,300 1,693 Imperial Oil 58,300 2,889 Murphy Oil 79,585 5,562 Nexen 86,400 2,639 Petro-Canada 46,500 2,669 SEACOR Holdings* 38,863 3,696 Spectra Energy 89,366 2,188 TransCanada 46,800 1,713 Unit* 22,408 1,085 -------------- 40,091 -------------- FINANCIALS -- 11.7% Alleghany* 6,013 2,441 American Financial Group 71,104 2,028 American National Insurance 10,534 1,386 Arch Capital Group* 25,419 1,891 Arthur J. Gallagher 58,800 1,703 Bancorpsouth 34,700 843 BOK Financial 58,232 2,994 Brookfield Asset Management, Cl A* 53,400 2,056 Capitol Federal Financial 8,063 276 CNA Financial 24,281 955 Colonial BancGroup 105,200 2,274 Commerce Bancshares 82,161 3,770 Credicorp 26,300 1,781 East West Bancorp 32,400 1,165 Erie Indemnity, Cl A 39,100 2,390 Federated Investors, Cl B 62,800 2,493 First Citizens BancShares, Cl A 13,324 2,324 - -------------------------------------------------------------------------------- 130 SEI Institutional Managed Trust / Annual Report / September 30, 2007 - -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) - -------------------------------------------------------------------------------- Fulton Financial 131,500 $ 1,891 Jones Lang LaSalle 17,300 1,778 Loews 53,924 2,607 Markel* 12,260 5,934 Mercury General 30,817 1,662 PartnerRe 4,857 384 PMI Group 70,000 2,289 Popular 176,600 2,169 Reinsurance Group of America 21 1 RenaissanceRe Holdings 40,700 2,662 Safeco 29,540 1,808 Stancorp Financial Group 36,900 1,827 Student Loan 4,275 771 Torchmark 30,565 1,905 Transatlantic Holdings 49,326 3,469 Valley National Bancorp 91,300 2,025 Wesco Financial 2,476 986 White Mountains Insurance Group 806 419 Whitney Holding 33,900 894 -------------- 68,251 -------------- HEALTH CARE -- 19.1% Abbott Laboratories 3,279 176 Alcon 17,900 2,576 AmerisourceBergen 92,967 4,214 Amylin Pharmaceuticals* 25,700 1,285 Becton Dickinson 71,039 5,829 Brookdale Senior Living 30,242 1,204 C.R. Bard 7,932 699 Cardinal Health 71,639 4,480 Celgene* 18,200 1,298 Charles River Laboratories International* 35,700 2,004 Covance* 25,047 1,951 Coventry Health Care* 57,440 3,573 Dade Behring Holdings 30,200 2,306 Dentsply International 106,833 4,448 Edwards Lifesciences* 60,931 3,004 Eli Lilly 39,693 2,260 Endo Pharmaceuticals Holdings* 57,800 1,792 Genentech* 22,183 1,731 Genzyme* 25,946 1,608 Henry Schein* 115,918 7,052 Hillenbrand Industries 137,317 7,555 Idexx Laboratories* 49,820 5,460 ImClone Systems* 31,400 1,298 Invitrogen* 46,761 3,822 Johnson & Johnson 68,676 4,512 King Pharmaceuticals* 177,100 2,076 Laboratory of America Holdings* 76,756 6,005 McKesson 48,810 2,869 Medco Health Solutions* 7,067 639 Merck 6,900 357 - -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) - -------------------------------------------------------------------------------- Millipore* 6,054 $ 459 Patterson* 81,205 3,135 PharMerica* 6,490 97 Schering-Plough 28,200 892 Sierra Health Services* 39,217 1,655 Techne* 72,045 4,545 Universal Health Services, Cl B 79,478 4,325 VCA Antech* 29,900 1,248 WellPoint* 83,106 6,559 Wyeth 20,300 904 -------------- 111,902 -------------- INDUSTRIALS -- 10.9% Alexander & Baldwin 8,700 436 Alliant Techsystems* 30,706 3,356 Amerco* 6,200 393 Belden CDT 29,900 1,403 C.H. Robinson Worldwide 48,700 2,644 Dun & Bradstreet 19,660 1,939 GATX 27,500 1,176 General Cable* 38,700 2,597 General Dynamics 53,527 4,521 Granite Construction 19,900 1,055 Harsco 34,800 2,063 JetBlue Airways* 88,700 818 L-3 Communications Holdings 6,301 644 Landstar System 40,600 1,704 Lennox International 22,800 771 Lincoln Electric Holdings 30,900 2,398 Lockheed Martin 67,912 7,368 Northrop Grumman 85,868 6,698 Pitney Bowes 148,847 6,761 Raytheon 57,718 3,683 Republic Services 51,670 1,690 Robert Half International 68,600 2,048 Stericycle* 45,416 2,596 Union Pacific 20,400 2,306 United Parcel Service, Cl B 10,864 816 UTI Worldwide 18,900 434 Waste Management 43,954 1,659 -------------- 63,977 -------------- INFORMATION TECHNOLOGY -- 7.2% Acxiom 39,800 788 Adtran 20,900 481 Affiliated Computer Services, Cl A* 30,700 1,542 CommScope* 36,300 1,824 Diebold 64,018 2,908 Factset Research Systems 37,600 2,578 Fair Isaac 28,500 1,029 Flir Systems* 49,800 2,758 Harris 32,000 1,849 - -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Annual Report / September 30, 2007 131 SCHEDULE OF INVESTMENTS U.S. Managed Volatility Fund (Concluded) September 30, 2007 - -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) - -------------------------------------------------------------------------------- Hewitt Associates, Cl A* 68,100 $ 2,387 Ingram Micro, Cl A* 289,369 5,675 International Business Machines 11,680 1,376 Lexmark International, Cl A* 16,600 689 Mettler Toledo International* 1,247 127 MoneyGram International 33,800 764 Qualcomm 58,900 2,489 Silicon Laboratories* 17,800 743 Sybase* 44,700 1,034 Tech Data* 140,179 5,624 Tektronix 58,200 1,614 WebMD Health, Cl A* 29,217 1,522 Zebra Technologies, Cl A* 63,410 2,314 -------------- 42,115 -------------- MATERIALS -- 3.7% Agrium 30,900 1,680 Aptargroup 47,400 1,795 Bemis 34,100 993 Eagle Materials 19,400 693 Greif, Cl A 34,100 2,069 Martin Marietta Materials 12,000 1,603 Methanex 74,300 1,887 Newmont Mining 99,210 4,438 Nova Chemicals 46,800 1,807 Packaging of America 80,300 2,334 Sigma-Aldrich 3,451 168 Steel Dynamics 51,300 2,396 -------------- 21,863 -------------- TELECOMMUNICATION SERVICES -- 5.7% Alltel 94,969 6,617 AT&T 48,892 2,069 CenturyTel 44,100 2,038 Embarq 96,222 5,350 Sprint Nextel 140,500 2,669 Telephone & Data Systems 98,383 6,567 US Cellular* 56,203 5,519 Verizon Communications 58,300 2,582 -------------- 33,411 -------------- UTILITIES -- 9.2% AGL Resources 57,100 2,262 Alliant Energy 47,200 1,809 Ameren 39,600 2,079 Atmos Energy 60,200 1,705 Consolidated Edison 52,300 2,421 Constellation Energy Group 13,700 1,175 DPL 70,900 1,862 DTE Energy 37,200 1,802 Edison International 47,900 2,656 Energen 42,500 2,428 Energy East 71,200 1,926 - -------------------------------------------------------------------------------- Shares/Face Amount Market Value Description ($ Thousands) ($ Thousands) - -------------------------------------------------------------------------------- Great Plains Energy 63,800 $ 1,838 Hawaiian Electric Industries 73,770 1,602 MDU Resources Group 70,700 1,968 NiSource 120,600 2,308 NSTAR 53,600 1,866 OGE Energy 139,878 4,630 Pepco Holdings 44,000 1,192 PG&E 56,500 2,701 Puget Energy 89,000 2,178 SCANA 54,500 2,111 TECO Energy 106,700 1,753 Vectren 64,169 1,751 Westar Energy 40,900 1,004 Wisconsin Energy 114,473 5,155 -------------- 54,182 -------------- Total Common Stock (Cost $504,865) ($ Thousands) 553,356 -------------- CASH EQUIVALENT**+ -- 5.3% SEI Daily Income Trust, Prime Obligation Fund, Cl A, 5.350% 30,820,869 30,821 -------------- Total Cash Equivalent (Cost $30,821) ($ Thousands) 30,821 -------------- U.S. TREASURY OBLIGATION (A) -- 0.2% U.S. Treasury Bills 4.012%, 11/23/07 $ 956 951 -------------- Total U.S. Treasury Obligation (Cost $950) ($ Thousands) 951 -------------- Total Investments -- 99.9% (Cost $536,636) ($ Thousands) $ 585,128 ============== A summary of the open futures contracts held by the Fund at September 30, 2007, is as follows (see Note 2 in Notes to Financial Statements): - -------------------------------------------------------------------------------- UNREALIZED TYPE OF NUMBER OF EXPIRATION APPRECIATION CONTRACT CONTRACTS DATE ($ THOUSANDS) - -------------------------------------------------------------------------------- S&P 500 Index E-MINI 301 Dec-2007 $ 729 ======= Percentages are based on Net Assets of $585,859 ($ Thousands). * Non-Income Producing Security. ** Rate shown is the 7-day effective yield as of September 30, 2007. + Investment in Affiliated Security (see Note 3). (A) Security, or portion thereof, has been pledged as collateral on open futures contracts. The rate reported is the effective yield at time of purchase. Cl -- Class Ser -- Series The accompanying notes are an integral part of the financial statements. - -------------------------------------------------------------------------------- 132 SEI Institutional Managed Trust / Annual Report / September 30, 2007 Global Managed Volatility Fund September 30, 2007 - -------------------------------------------------------------------------------- SECTOR WEIGHTINGS# (UNAUDITED): [THE FOLLOWING TABLE WAS REPRESENTED BY A BAR CHART IN THE PRINTED MATERIAL.] 19.3% Consumer Staples 15.7% Health Care 14.2% Financials 11.3% Industrials 10.5% Consumer Discretionary 8.3% Utilities 5.9% Energy 4.8% Information Technology 4.5% Telecommunication Services 3.0% Short-Term Investment 2.0% Materials 0.5% U.S. Treasury Obligation #Percentages based on total investments. - -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) - -------------------------------------------------------------------------------- COMMON STOCK -- 95.6% AUSTRALIA -- 5.1% Australia & New Zealand Banking Group 12,223 $ 321 Centro Properties Group 95,850 625 CFS Retail Property Trust 263,597 558 Coca-Cola Amatil 232,372 1,851 Commonwealth Bank of Australia 12,068 602 DB RREEF Trust 599,921 1,067 Incitec Pivot 6,435 487 ING Industrial Fund 592,028 1,483 Leighton Holdings 18,549 845 Macquarie Communications Infrastructure Group 35,884 193 Macquarie Office Trust 43,138 60 McPherson's 12,442 39 MFS 49,533 206 Multiplex Group 359,653 1,595 Origin Energy 60,248 549 Programmed Maintenance Services 7,356 35 QBE Insurance Group 3,438 103 Stockland 95,157 758 Telstra 400,299 1,544 Westfield Group 31,783 610 Woolworths 19,506 513 -------------- 14,044 -------------- AUSTRIA -- 0.5% CA Immobilien Anlagen* 3,980 105 Meinl European Land* 83,493 1,188 -------------- 1,293 -------------- BELGIUM -- 3.0% Befimmo 561 58 Belgacom 15,112 699 Cofinimmo 7,365 1,299 Colruyt 2,876 606 - -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) - -------------------------------------------------------------------------------- Compangie d'entreprises* 115 $ 235 D'ieteren 186 83 EVS Broadcast Equipment* 516 51 InBev 8,903 805 Intervest Offices 1,579 65 KBC Groep 5,742 788 Mobistar 39,396 3,437 Solvay 946 137 Warehouses De Pauw 873 60 -------------- 8,323 -------------- BERMUDA -- 0.9% Arch Capital Group* 6,896 513 PartnerRe 8,845 699 RenaissanceRe Holdings 11,325 741 TBS International, Cl A* 10,680 440 XL Capital, Cl A 2,331 185 -------------- 2,578 -------------- CANADA -- 3.3% Allen-Vanguard* 14,300 137 Bank of Montreal 6,100 399 Bank of Montreal 1,800 118 Bank of Nova Scotia 12,800 673 Bank of Nova Scotia 1,400 74 Canadian Imperial Bank of Commerce 8,100 810 Cott* 2,300 18 Dorel Industries, Cl B 700 21 Enbridge 30,600 1,122 First Calgary Petroleums* 49,700 242 George Weston 14,600 1,043 Jean Coutu Group, Cl A 11,000 147 Loblaw 5,400 245 Manitoba Telecom Services 4,400 214 Manitoba Telecom Services 3,300 161 Methanex 10,300 259 Nova Chemicals 11,800 455 Onex 5,600 206 Provident Energy Trust 5,600 71 Quebecor World 57,500 557 RONA* 5,000 110 Rothmans 2,900 67 Royal Bank of Canada 13,000 720 Saputo 3,400 180 TELUS 8,400 473 TransAlta 14,200 447 -------------- 8,969 -------------- DENMARK -- 1.9% A P Moller - Maersk, Cl B 56 767 Carlsberg, Cl B 15,500 2,112 - -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Annual Report / September 30, 2007 133 SCHEDULE OF INVESTMENTS Global Managed Volatility Fund (Continued) September 30, 2007 - -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) - -------------------------------------------------------------------------------- D/S Norden 7,855 $ 836 Danske Bank 10,000 405 H Lundbeck 8,700 236 Jyske Bank 5,325 413 Sanistal, Cl B 92 15 Sydbank 7,700 334 Topdanmark* 675 111 -------------- 5,229 -------------- FINLAND -- 0.9% Componenta 7,368 107 Fortum 12,983 475 Kesko, Cl B 6,015 399 Kone, Cl B 1,135 83 Orion, Cl B 10,732 272 Outokumpu 12,869 461 Ramirent 3,884 84 Rautaruukki 1,395 84 Sanoma-WSOY 14,943 463 -------------- 2,428 -------------- FRANCE -- 2.0% Camaieu 56 25 Cie Generale d'Optique Essilor International 42,380 2,652 CNP Assurances 1,911 244 Faiveley 404 27 Fonciere Des Regions 394 58 Recylex* 2,310 86 Sanofi-Aventis 8,956 756 SEB 213 39 Total 19,842 1,609 -------------- 5,496 -------------- GERMANY -- 0.9% Adidas 440 29 Beiersdorf 10,998 821 Celesio 1,637 103 Deutsche Euroshop 1,124 41 E.ON 4,471 824 EnBW Energie Baden-Wuerttemberg 876 71 KWS Saat 317 61 Norddeutsche Affinerie 1,981 87 Rhoen Klinikum 3,373 108 Salzgitter 1,861 365 Vossloh 635 68 -------------- 2,578 -------------- GREECE -- 0.1% Excel Maritime Carriers 3,569 199 -------------- - -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) - -------------------------------------------------------------------------------- HONG KONG -- 2.8% ASM Pacific Technology 11,000 $ 97 CLP Holdings 106,500 738 Esprit Holdings 23,000 366 Guoco Group 16,000 218 Hang Seng Bank 193,000 3,431 Hong Kong & China Gas 326,000 760 HongKong Electric Holdings 143,000 744 Jardine Matheson Holdings 26,400 755 Mandarin Oriental International 25,000 56 Noble Group 146,000 213 Orient Overseas International 6,500 62 Techtronic Industries 56,500 64 Vtech Holdings 12,000 89 Yue Yuen Industrial Holdings 16,000 48 -------------- 7,641 -------------- ITALY -- 2.0% ASM 33,239 205 Banca Popolare dell'Emilia Romagna 24,503 556 CSP International Fashion Group 10,228 34 Enel 215,062 2,428 ENI 19,267 712 Indesit 30,162 519 Telecom Italia 78,650 239 UniCredito Italiano 70,910 605 Unipol 72,490 246 -------------- 5,544 -------------- JAPAN -- 19.9% 77 Bank 120,000 806 Ajinomoto 50,000 626 Ajis 1,300 33 Alpine Electronics 11,400 168 Astellas Pharma 16,400 786 Brother Industries 22,000 281 Canon 12,000 654 Canon Marketing Japan 11,200 224 Central Glass 66,000 332 Central Japan Railway 201 2,132 Chiba Bank 7,000 54 CHINTAI 37 17 Chubu Electric Power 34,800 900 Chugai Pharmaceutical 11,100 183 Chugoku Electric Power 3,900 79 Combi 9,500 60 Daiichi Sankyo 26,600 798 Daito Trust Construction 37,900 1,826 East Japan Railway 85 670 Fancl 2,000 26 FUJI SOFT 39,700 811 FUJIFILM Holdings 17,400 803 - -------------------------------------------------------------------------------- 134 SEI Institutional Managed Trust / Annual Report / September 30, 2007 - -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) - -------------------------------------------------------------------------------- Fukuda 6,000 $ 22 Geo 40 83 Glory 14,200 451 Gunma Bank 28,000 186 Haruyama Trading 2,000 17 Hino Motors 193,000 1,473 Honda Motor 6,900 232 IBJ Leasing 1,000 18 Japan Tobacco 137 752 JFE Holdings 11,800 835 Kamei 4,000 23 Kamigumi 34,000 285 Kanamoto 5,000 53 Kansai Electric Power 24,700 564 Kao 7,000 209 Katokichi 228,600 1,045 Kawasaki Kisen Kaisha 57,000 836 KDDI 97 719 Kinden 7,000 64 Kobayashi Pharmaceutical 600 21 Kokuyo 5,600 58 Konica Minolta Holdings 26,500 449 Kose 2,100 56 Kyushu Electric Power 6,300 167 Mabuchi Motor 33,900 2,208 Makita 6,300 276 Meiji Dairies 190,000 1,072 Mitani 3,400 37 Mitsubishi Tanabe Pharma 7,000 88 Mitsui 37,000 898 Mitsui Chemicals 30,000 298 Mitsui OSK Lines 51,000 825 Morinaga Milk Industry 12,000 48 NAC 1,300 13 Net One Systems 176 194 Nichirei 313,000 1,434 Nihon Jumbo 2,100 21 Nintendo 2,500 1,300 Nippon Chemi-Con 7,000 62 Nippon Meat Packers 91,000 1,010 Nippon Oil 148,000 1,373 Nippon Suisan Kaisha 44,500 235 Nippon Telegraph & Telephone 156 728 Nippon Yusen 62,000 605 Nishimatsu Construction 69,000 208 Noevir 2,500 28 Odakyu Electric Railway 249,000 1,604 Okumura 251,000 1,277 Olympus 18,000 739 Ono Pharmaceutical 3,400 182 Osaka Gas 62,000 217 Proto 1,000 22 Ricoh 32,000 676 Round One 143 316 - -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) - -------------------------------------------------------------------------------- San-In Godo Bank 2,000 $ 16 Sapporo Hokuyo Holdings 21 208 Seiko Epson 56,600 1,400 Shikoku Electric Power 6,900 173 Shimachu 11,600 307 Shimano 2,200 77 Shizuoka Bank 19,000 184 Sony 15,700 760 Sumco 10,600 431 Suzuken 60,400 2,032 Suzuki Motor 2,500 74 Takeda Pharmaceutical 10,600 745 TIS 8,300 162 Toda 299,000 1,575 Tohoku Electric Power 16,500 352 Tohto Suisan 9,000 21 Tokyo Electric Power 27,800 701 Tokyo Style 48,000 498 TonenGeneral Sekiyu 68,000 683 Toshiba 25,000 233 Toyo Kohan 3,000 19 Toyo Suisan Kaisha 88,000 1,653 Toyota Motor 3,600 212 Tsumura & Co 2,400 43 Unicharm 7,100 435 Uniden 58,000 384 Wacoal Holdings 74,000 908 West Japan Railway 23 110 Yamaha 55,500 1,243 Yaoko 1,200 31 Zeon 29,000 285 -------------- 54,836 -------------- NETHERLANDS -- 2.1% Gamma Holding 1,278 101 Heineken 11,894 779 Hunter Douglas 2,272 204 Royal Dutch Shell, Cl A 18,605 766 Royal KPN 45,489 787 Royal Numico 25,824 1,998 Smit Internationale 1,333 116 TomTom* 4,546 352 Unilever 23,731 731 Vastned Offices 1,243 39 -------------- 5,873 -------------- NEW ZEALAND -- 0.2% Air New Zealand 12,657 24 Contact Energy 2,803 19 Fletcher Building 54,105 519 Warehouse Group 11,437 47 -------------- 609 -------------- - -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Annual Report / September 30, 2007 135 SCHEDULE OF INVESTMENTS Global Managed Volatility Fund (Continued) September 30, 2007 - -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) - -------------------------------------------------------------------------------- PORTUGAL -- 0.3% Banco BPI 3,192 $ 27 Banco Espirito Santo 33,936 767 Cimpor Cimentos de Portugal 20,338 168 -------------- 962 -------------- SINGAPORE -- 1.2% Cosco Singapore 192,000 770 Hotel Grand Central 84,000 66 Jardine Cycle & Carriage 25,000 311 SembCorp Marine 439,600 1,362 Singapore Telecommunications 266,500 722 -------------- 3,231 -------------- SPAIN -- 1.5% Abertis Infraestructuras 22,246 694 ACS Actividades Construcciones y Servicios 13,103 721 Gestevision Telecinco 24,522 642 Inditex 7,870 529 Repsol 19,172 683 Union Fenosa 13,014 768 -------------- 4,037 -------------- SWEDEN -- 0.4% Aangpanneforeningen, Cl B 1,200 32 Fabege 7,600 90 Peab 2,200 24 Peab Indsutri* 1,100 12 Swedish Match 52,200 1,081 -------------- 1,239 -------------- SWITZERLAND -- 1.8% Affichage Holding Genf 153 34 Alcon 5,467 787 Basler Kantonalbank 272 26 Bell Holding 13 21 Forbo Holding 58 34 Galenica 305 130 Geberit 2,190 285 MCH Messe Schweiz Holding 53 36 Nestle 1,806 809 Novartis 650 36 Panalpina Welttransport Holding 269 45 PSP Swiss Property 1,705 90 St Galler Kantonalbank 83 36 Swatch Group, Cl B 2,453 802 Swisscom 4,928 1,868 -------------- 5,039 -------------- - -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) - -------------------------------------------------------------------------------- UNITED KINGDOM -- 4.0% Antofagasta 6,225 $ 97 Beazley Group 12,715 47 Diageo 122,151 2,673 GlaxoSmithKline 14,772 390 HMV Group 435,441 1,038 Imperial Tobacco Group 16,533 755 Kcom Group 17,273 23 Man Group 26,772 302 Marks & Spencer Group 22,022 276 National Grid 26,182 418 Next 14,955 598 Rank Group 31,170 103 Reckitt Benckiser 28,433 1,664 Scottish & Southern Energy 12,805 394 Stagecoach Group 133,426 618 Tate & Lyle 17,900 147 Tenon Group 12,735 15 Tesco 32,889 294 Trinity Mirror 66,815 561 Vodafone Group 144,275 519 WM Morrison Supermarkets 24,778 142 -------------- 11,074 -------------- UNITED STATES -- 40.8% Abbott Laboratories 32,100 1,721 Aetna 12,700 689 Aflac 13,100 747 Alberto-Culver 30,300 751 Alleghany* 200 81 Alliant Techsystems* 5,200 568 AMERIGROUP* 14,800 510 AmerisourceBergen 9,100 413 Anheuser-Busch 10,700 535 Apache 6,300 567 Apollo Group, Cl A* 42,600 2,562 Arkansas Best 2,300 75 Atlantic Tele-Network 8,800 320 Avon Products 52,900 1,985 Ball 10,300 554 Bank of America 35,900 1,805 Beckman Coulter 6,100 450 Big Lots* 3,300 99 Biogen Idec* 21,200 1,406 Books-A-Million 1,300 17 Brown-Forman, Cl B 2,700 202 Bunge 8,253 887 Career Education* 9,600 269 Carriage Services* 3,600 29 CBS, Cl B 83,500 2,630 Chevron 8,200 767 Church & Dwight 14,000 659 Coca-Cola 6,400 368 - -------------------------------------------------------------------------------- 136 SEI Institutional Managed Trust / Annual Report / September 30, 2007 - -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) - -------------------------------------------------------------------------------- Colgate-Palmolive 11,000 $ 785 Colonial BancGroup 48,300 1,044 Community Health Systems* 45,300 1,424 ConAgra Foods 15,600 408 ConocoPhillips 8,800 772 Consolidated Edison 42,800 1,982 Corn Products International 8,500 390 Corporate Executive Board 5,700 423 Coventry Health Care* 19,900 1,238 CPI 1,700 66 Darden Restaurants 15,300 641 Darling International* 6,200 61 Deluxe 5,400 199 Dentsply International 59,000 2,457 Discover Financial Services 40,700 847 Dow Chemical 5,700 246 Dress Barn* 21,700 369 Dynamex* 1,300 33 EchoStar Communications, Cl A* 16,700 782 Enbridge Energy Partners LP 1,100 54 Energizer Holdings* 700 78 Energy East 94,900 2,567 Entergy 5,700 617 EPIQ Systems* 9,900 186 Exelon 10,400 784 Express Scripts* 1,600 89 Exxon Mobil 8,500 787 Fifth Third Bancorp 10,500 356 First Niagara Financial Group 16,700 236 FirstEnergy 4,800 304 FNB 2,600 78 Forest Laboratories* 17,600 656 FTD Group 14,900 222 Genentech* 19,200 1,498 General Mills 54,000 3,133 General Motors 33,200 1,218 Getty Images* 1,000 28 H&R Block 30,000 635 Hanesbrands* 6,600 185 Harleysville Group 400 13 Harris 12,500 722 Health Management Associates, Cl A 180,100 1,250 Henry Schein* 1,300 79 Hershey 59,000 2,738 Hess 11,700 778 Hewitt Associates, Cl A* 21,800 764 Hilb Rogal & Hobbs 4,600 199 Hillenbrand Industries 3,500 193 HJ Heinz 4,800 222 Holly 9,800 586 Hooker Furniture* 6,000 120 Hormel Foods 1,300 47 Immersion* 6,400 105 - -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) - -------------------------------------------------------------------------------- International Shipholding* 13,200 $ 274 Interstate Hotels & Resorts* 8,100 37 Intervest Bancshares 6,100 151 j2 Global Communications* 8,500 278 Jarden* 5,200 161 Johnson & Johnson 56,700 3,725 Kellogg 25,300 1,417 Kimberly-Clark 10,400 731 Kraft Foods, Cl A 42,000 1,449 L-3 Communications Holdings 700 72 Laboratory Corp of America Holdings* 9,600 751 Lockheed Martin 13,800 1,497 M&F Worldwide* 1,000 50 M&T Bank 4,100 424 Magellan Health Services* 11,600 471 Marathon Oil 12,400 707 Markel* 800 387 McClatchy, Cl A 84,300 1,684 McGraw-Hill 7,000 356 McKesson 500 29 Medco Health Solutions* 500 45 Medtronic 47,500 2,680 Mylan 12,400 198 National Oilwell Varco* 13,800 1,994 NBTY* 3,800 154 NCI, Cl A* 1,600 30 Nike, Cl B 13,500 792 NiSource 45,200 865 Northrop Grumman 21,200 1,654 Occidental Petroleum 7,900 506 PAM Transportation Services* 6,200 112 Patterson* 75,100 2,900 PRG-Schultz International* 3,300 45 Principal Financial Group 15,500 978 Procter & Gamble 11,400 802 Public Service Enterprise Group 4,100 361 Quest Diagnostics 38,300 2,213 Reliv International 18,800 188 Rockwood Holdings* 600 22 Safeco 44,600 2,730 Schering-Plough 23,500 743 Sierra Bancorp 3,000 86 Southern 59,400 2,155 Southwest Airlines 25,700 380 Stericycle* 5,600 320 STERIS 17,800 487 Suburban Propane Partners LP 16,300 724 SunTrust Banks 4,400 333 Symantec* 36,900 715 Team* 5,200 142 TEPPCO Partners LP 6,900 263 Tyson Foods, Cl A 19,400 346 Unit* 3,000 145 - -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Annual Report / September 30, 2007 137 SCHEDULE OF INVESTMENTS Global Managed Volatility Fund (Concluded) September 30, 2007 - -------------------------------------------------------------------------------- Shares/Face Amount Market Value Description ($ Thousands) ($ Thousands) - -------------------------------------------------------------------------------- United Parcel Service, Cl B 28,700 $ 2,155 UnitedHealth Group 14,800 717 Universal Health Services, Cl B 7,500 408 Vineyard National Bancorp 10,845 181 W-H Energy Services* 3,800 280 Wal-Mart Stores 75,800 3,309 Walgreen 49,100 2,320 Washington Post, Cl B 600 482 WellPoint* 21,400 1,689 Wells Fargo 27,700 987 Westwood Holdings Group 1,000 34 Wisconsin Energy 18,500 833 WR Berkley 7,400 219 Zimmer Holdings* 8,500 688 -------------- 112,421 -------------- Total Common Stock (Cost $249,282) ($ Thousands) 263,643 -------------- CASH EQUIVALENT**++ -- 3.0% SEI Daily Income Trust, Prime Obligation Fund, Cl A, 5.350% 8,157,914 8,158 -------------- Total Cash Equivalent (Cost $8,158) ($ Thousands) 8,158 -------------- U.S. TREASURY OBLIGATION (A) -- 0.5% U.S. Treasury Bills 4.122%, 11/23/07 $ 1,360 1,353 -------------- Total U.S. Treasury Obligation (Cost $1,352) ($ Thousands) 1,353 -------------- Total Investments -- 99.1% (Cost $258,792) ($ Thousands) $ 273,154 ============== A summary of the open futures contracts held by the Fund at September 30, 2007, is as follows (see Note 2 in Notes to Financial Statements): - -------------------------------------------------------------------------------- UNREALIZED TYPE OF NUMBER OF EXPIRATION APPRECIATION CONTRACT CONTRACTS DATE ($ THOUSANDS) - -------------------------------------------------------------------------------- DJ Euro Stoxx 50 Index 26 Dec-2007 $ 11 FTSE 100 Index 7 Dec-2007 2 Hang Seng Index 2 Oct-2007 6 S&P 500 Composite Index 11 Dec-2007 151 SPI 200 Index 5 Dec-2007 16 Topix Index 9 Dec-2007 77 ------ $ 263 ====== A summary of the outstanding forward foreign currency contracts held by the Fund at September 30, 2007, is as follows (see Note 2 in Notes to Financial Statements): - -------------------------------------------------------------------------------- UNREALIZED CURRENCY CURRENCY APPRECIATION MATURITY TO DELIVER TO RECEIVE (DEPRECIATION) DATE ($ THOUSANDS) ($ THOUSANDS) ($ THOUSANDS) - -------------------------------------------------------------------------------- 10/30/07 AUD 17,628 USD 15,276 $ (300) 10/30/07 CAD 7,181 USD 7,174 (57) 10/30/07 EUR 35,136 USD 49,669 (331) 10/30/07 GBP 6,897 USD 13,895 (146) 10/30/07 JPY 6,668,600 USD 58,522 331 10/30/07 USD 171 AUD 196 2 10/30/07 USD 26 CAD 26 -- 10/30/07 USD 359 EUR 254 3 10/30/07 USD 17 GBP 9 -- 10/30/07 USD 694 JPY 79,086 (4) --------- $ (502) ========= Percentages are based on Net Assets of $275,749 ($ Thousands). * Non-Income Producing Security. ** Rate shown is the 7-day effective yield as of September 30, 2007. ++ Investment in Affiliated Security (see Note 3). (A) Security, or portion thereof, has been pledged as collateral on open futures contracts. The rate reported is the effective yield at time of purchase. AUD -- Australian Dollar CAD -- Canadian Dollar Cl -- Class EUR -- Euro GBP -- British Pound Sterling JPY -- Japanese Yen LP -- Limited Partnership USD -- United States Dollar Amounts designated as "--" are $0 or have been rounded to $0. The accompanying notes are an integral part of the financial statements. - -------------------------------------------------------------------------------- 138 SEI Institutional Managed Trust / Annual Report / September 30, 2007 Real Estate Fund September 30, 2007 - -------------------------------------------------------------------------------- SECTOR WEIGHTINGS# (UNAUDITED): [THE FOLLOWING TABLE WAS REPRESENTED BY A BAR CHART IN THE PRINTED MATERIAL.] 70.4% Financials 25.0% Short-Term Investments 3.7% Consumer Discretionary 0.6% Health Care 0.3% Asset-Backed Security #Percentages based on total investments. Includes investments held as collateral for securities on loan (see Note 7). - -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) - -------------------------------------------------------------------------------- COMMON STOCK -- 96.6% CONSUMER DISCRETIONARY -- 4.9% Marriott International, Cl A 79,500 $ 3,456 Starwood Hotels & Resorts Worldwide 139,400 8,468 -------------- 11,924 -------------- FINANCIALS -- 90.9% Acadia Realty Trust+ (A) 49,100 1,332 AMB Property+ 112,400 6,723 Ashford Hospitality Trust+ (A) 193,600 1,946 AvalonBay Communities+ (A) 100,300 11,841 BioMed Realty Trust+ 23,600 569 Boston Properties+ (A) 133,983 13,921 British Land (United Kingdom)+ (F) 85,920 2,052 Camden Property Trust+ (A) 94,300 6,059 Corporate Office Properties Trust+ (A) 111,300 4,633 Cousins Properties+ 21,500 631 Dawnay Day Sirius (United Kingdom) (F)* 317,393 415 Dawnay Day Treveria (United Kingdom) (F) 473,984 674 DCT Industrial Trust+ (A) 116,500 1,220 Douglas Emmett+ 161,225 3,987 Equity Residential+ (A) 421,200 17,842 Essex Property Trust+ (A) 29,600 3,480 Extra Space Storage+ (A) 204,400 3,146 Federal Realty Investment Trust+ 44,600 3,951 Forest City Enterprises, Cl A 39,600 2,184 General Growth Properties+ (A) 171,910 9,218 Hammerson (United Kingdom)+ (F) 76,375 1,824 HCP+ (A) 101,800 3,377 Host Hotels & Resorts+ (A) 507,794 11,395 Kimco Realty+ (A) 229,400 10,371 Land Securities Group (United Kingdom)+ (F) 59,631 2,043 Liberty Property Trust+ 42,800 1,721 Macerich+ (A) 63,400 5,553 Mack-Cali Realty+ 128,200 5,269 Maguire Properties+ (A) 68,700 1,774 Newcastle Investment+ (A) 26,300 463 Prologis+ (A) 147,200 9,767 PS Business Parks+ 36,105 2,053 Public Storage+ (A) 69,354 5,455 - -------------------------------------------------------------------------------- Shares/Face Amount Market Value Description ($ Thousands) ($ Thousands) - -------------------------------------------------------------------------------- Saul Centers+ (A) 22,300 $ 1,148 Simon Property Group+ (A) 197,750 19,775 SL Green Realty+ (A) 38,500 4,496 Strategic Hotels & Resorts+ 138,600 2,854 Sunstone Hotel Investors+ 44,800 1,149 Taubman Centers+ 72,050 3,945 Thomas Properties Group 71,458 857 Unibail (France)+ (F) 13,971 3,586 Ventas+ (A) 241,900 10,015 Verde Realty PIPE (E) (G)* 21,400 706 Vornado Realty Trust+ (A) 108,900 11,908 Weingarten Realty Investors+ (A) 131,000 5,431 -------------- 222,759 -------------- HEALTH CARE -- 0.8% Brookdale Senior Living (A) 29,400 1,171 Sunrise Senior Living (A)* 25,000 884 -------------- 2,055 -------------- Total Common Stock (Cost $205,049) ($ Thousands) 236,738 -------------- CORPORATE OBLIGATION (B) (C) -- 0.5% FINANCIALS -- 0.5% SLM EXL, Ser S 5.763%, 10/15/07 $ 1,223 1,223 -------------- Total Corporate Obligation (Cost $1,223) ($ Thousands) 1,223 -------------- ASSET-BACKED SECURITY (B) (C) (D) -- 0.4% MORTGAGE RELATED SECURITY -- 0.4% Duke Funding, Ser 2004-6B, Cl A1S1 5.430%, 10/09/07 833 833 -------------- Total Asset-Backed Security (Cost $833) ($ Thousands) 833 -------------- CASH EQUIVALENTS**++ -- 32.5% SEI Daily Income Trust, Prime Obligation Fund, Cl A, 5.350% 8,913,199 8,913 SEI Liquidity Fund LP, 5.367% (B) 70,768,990 70,769 -------------- Total Cash Equivalents (Cost $79,682) ($ Thousands) 79,682 -------------- Total Investments -- 130.0% (Cost $286,787) ($ Thousands) $ 318,476 ============== - -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Annual Report / September 30, 2007 139 SCHEDULE OF INVESTMENTS Real Estate Fund (Concluded) September 30, 2007 - -------------------------------------------------------------------------------- Description - -------------------------------------------------------------------------------- Percentages are based on Net Assets of $244,991 ($ Thousands). * Non-Income Producing Security. ** Rate shown is the 7-day effective yield as of September 30, 2007. + Real Estate Investment Trust. ++ Investment in Affiliated Security (see Note 3). (A) This security or a partial position of this security is on loan at September 30, 2007. The total market value of securities on loan at September 30, 2007 was $70,960 ($ Thousands). (B) This security was purchased with cash collateral held from securities on loan. The total market value of such securities as of September 30, 2007 was $72,825 ($ Thousands). (C) Variable Rate Security -- The rate reported on the Schedule of Investments is the rate in effect as of September 30, 2007. (D) Securities sold within terms of a private placement memorandum, exempt from registration under Section 144A of the Securities Act of 1933, as amended, and may be sold only to dealers in that program or other "accredited investors." These securities have been determined to be liquid under guidelines established by the Board of Trustees. (E) Security fair valued using methods determined in good faith by the Valuation Committee of the Board of Trustees. The total market value of such securities at September 30, 2007 was $706 ($ Thousands) and represented 0.29% of Net Assets. (F) This security is traded on a foreign stock exchange. The total market value of such securities as of September 30, 2007 was $10,594 ($ Thousands) and represented 4.32% of Net Assets. (G) Securities considered illiquid and restricted. The total market value of such securities at September 30, 2007 was $706 ($ Thousands) and represented 0.29% of Net Assets. Cl -- Class EXL -- Extendable Maturity LP -- Limited Partnership PIPE -- Private Investment in Public Entity Ser -- Series The accompanying notes are an integral part of the financial statements. - -------------------------------------------------------------------------------- 140 SEI Institutional Managed Trust / Annual Report / September 30, 2007 Enhanced Income Fund September 30, 2007 - -------------------------------------------------------------------------------- SECTOR WEIGHTINGS# (UNAUDITED): [THE FOLLOWING TABLE WAS REPRESENTED BY A BAR CHART IN THE PRINTED MATERIAL.] Asset-Backed Securities 39.7% Loan Participations 28.2% Corporate Obligations 12.5% Short-Term Investments 7.5% Time Deposits 6.2% U.S. Government Agency Mortgage-Backed Obligations 5.8% Certificate of Deposit 0.1% # Percentages based on total investments. - -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) - -------------------------------------------------------------------------------- ASSET-BACKED SECURITIES -- 40.8% AUTOMOTIVE -- 4.7% AESOP Funding II LLC, Ser 2003-4A, Cl A2 2.860%, 08/20/09 $ 500 $ 488 AmeriCredit Automobile Receivables Trust, Ser 2005-1, Cl B 4.480%, 11/06/09 582 581 AmeriCredit Automobile Receivables Trust, Ser 2006-1, Cl B 5.200%, 03/06/11 830 826 AmeriCredit Automobile Receivables Trust, Ser 2007-AX, Cl A4 (C) 5.370%, 10/06/13 570 561 AmeriCredit Prime Automobile Receivables, Ser 2007-1, Cl D 5.520%, 01/08/12 775 759 Americredit Automobile Receivables Trust, Ser 2007-AX, Cl A2 5.290%, 10/06/07 603 603 Capital Auto Receivables Asset Trust, Ser 2006-SN1A, Cl A2A 5.400%, 01/20/09 482 482 Capital Auto Receivables Asset Trust, Ser 2007-1, Cl B 5.150%, 09/17/12 955 935 Capital Auto Receivables Asset Trust, Ser 2007-3, Cl A3A 5.020%, 09/15/11 885 885 Capital One Prime Auto Receivables Trust, Ser 2007-C, Cl A3 4.890%, 01/17/12 2,000 2,000 Capital One Prime Auto Receivables, Ser 2004-3, Cl A3 3.390%, 01/15/09 22 22 Carmax Auto Owner Trust, Ser 2004-2, Cl D 3.670%, 09/15/11 319 315 - -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) - -------------------------------------------------------------------------------- Carmax Auto Owner Trust, Ser 2007-1, Cl C 5.530%, 07/15/13 $ 190 $ 190 Carmax Auto Owner Trust, Ser 2007-2, Cl B 5.370%, 03/15/13 2,055 2,026 Ford Credit Auto Owner Trust, Ser 2006-A, Cl C 5.480%, 09/15/11 1,500 1,501 Ford Credit Auto Owner Trust, Ser 2006-B, Cl A2A 5.420%, 07/15/09 432 431 Ford Credit Auto Owner Trust, Ser 2007-A, Cl C 5.800%, 02/15/13 515 490 Harley-Davidson Motorcycle Trust, Ser 2006-1, Cl B 5.240%, 11/15/13 1,550 1,536 Harley-Davidson Motorcycle Trust, Ser 2006-2, Cl A2 5.350%, 03/15/13 1,000 1,004 Harley-Davidson Motorcycle Trust, Ser 2006-3, Cl B 5.430%, 11/15/14 890 882 Harley-Davidson Motorcycle Trust, Ser 2007-2, Cl B 5.230%, 03/17/14 1,225 1,203 Honda Auto Receivables Owners Trust, Ser 2004-3, Cl A3 2.910%, 10/20/08 43 43 Honda Auto Receivables Owners Trust, Ser 2004-3, Cl A4 3.280%, 02/18/10 800 792 Honda Auto Receivables Owners Trust, Ser 2005-1, Cl A4 3.820%, 05/21/10 1,500 1,483 Hyundai Auto Receivables Trust, Ser 2006-B, Cl D 5.410%, 05/15/13 680 676 Hyundai Auto Receivables Trust, Ser 2007-A, Cl A3B 5.536%, 01/17/12 645 674 Merrill Auto Trust Securitization, Ser 2007-1, Cl C 5.960%, 12/15/13 2,000 2,028 Nissan Auto Receivables Owner Trust, Ser 2003-C, Cl A5 3.210%, 03/16/09 422 421 Onyx Acceptance Owner Trust, Ser 2004-C, Cl A4 3.500%, 12/15/11 422 418 USAA Auto Owner Trust, Ser 2006-4, Cl B 5.260%, 06/17/13 1,250 1,236 - -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Annual Report / September 30, 2007 141 SCHEDULE OF INVESTMENTS Enhanced Income Fund (Continued) September 30, 2007 - -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) - -------------------------------------------------------------------------------- USAA Auto Owner Trust, Ser 2007-1, Cl B 5.850%, 12/16/13 $ 2,455 $ 2,457 USAA Auto Owner Trust, Ser 2007-2, Cl A3 5.070%, 02/15/12 1,140 1,140 Whole Auto Loan Trust, Ser 2003-1, Cl A4 2.580%, 03/15/10 291 288 -------------- 29,376 -------------- CREDIT CARDS -- 7.3% Advanta Business Card Master Trust, Ser 2004-C1, Cl C (C) 6.550%, 10/20/07 485 480 Advanta Business Card Master Trust, Ser 2005-C1, Cl C1 (C) 6.048%, 10/20/07 800 795 Advanta Business Card Master Trust, Ser 2006-B2, Cl B2 (C) 5.580%, 10/20/07 1,000 975 Advanta Business Card Master Trust, Ser 2006-C1, Cl C1 5.980%, 10/20/14 1,500 1,447 Advanta Business Card Master Trust, Ser 2007-B1, Cl B 5.788%, 12/22/14 2,000 1,943 American Express Credit Account Master Trust, Ser 2004-C, Cl C (C) 6.722%, 10/15/07 798 796 American Express Credit Account Master Trust, Ser 2007-2, Cl B 5.791%, 09/15/16 610 584 Bank One Issuance Trust, Ser 2003-C2, Cl C2 (C) 6.751%, 10/16/07 2,100 2,106 Bank One Issuance Trust, Ser 2003-C3, Cl C3 4.770%, 02/16/16 830 770 Bank One Issuance Trust, Ser 2004-B1, Cl B1 (C) 6.070%, 10/01/07 1,250 1,242 Bank of America Credit Card Trust, Ser 2006-B4, Cl B4 (C) 5.830%, 03/15/12 835 825 Bank of America Credit Card Trust, Ser 2006-C7, Cl C7 (C) 5.841%, 10/15/07 1,000 970 Bank of America Credit Card Trust, Ser 2007-C1, Cl C1 (C) 5.901%, 10/26/07 1,700 1,635 - -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) - -------------------------------------------------------------------------------- Cabela's Master Credit Card Trust, Ser 2006-3A, Cl C 5.380%, 10/15/14 $ 520 $ 503 Capital One Master Trust, Ser 2002-1A, Cl B 6.350%, 11/15/11 525 525 Capital One Multi-Asset Execution Trust, Ser 2003-B3, Cl B3 4.500%, 06/15/11 1,500 1,491 Capital One Multi-Asset Execution Trust, Ser 2005-B2, Cl B2 (C) 5.761%, 10/15/07 1,000 999 Capital One Multi-Asset Execution Trust, Ser 2005-C1, Cl C1 6.011%, 02/15/13 1,800 1,761 Capital One Multi-Asset Execution Trust, Ser 2007-C2, Cl C2 (C) 5.911%, 10/15/07 1,600 1,530 Citibank Credit Card Issuance Trust, Ser 2001-C1, Cl C1 (C) 6.440%, 01/15/10 2,000 2,005 Citibank Credit Card Issuance Trust, Ser 2006-C4, Cl C4 5.540%, 01/09/12 1,800 1,753 Discover Card Master Trust I, Ser 2005-1, Cl B (C) 5.761%, 10/18/07 1,500 1,498 First National Master Note Trust, Ser 2007-1, Cl B 5.811%, 04/15/13 1,335 1,313 First USA Credit Card Master Trust, Ser 1998-2, Cl C 6.800%, 02/18/11 2,125 2,127 GE Capital Credit Card Master Note Trust, Ser 2007-3, Cl C 5.911%, 06/15/13 3,000 2,920 GE Capital Credit Card Master Note Trust, Ser 2007-4, Cl B (C) 5.950%, 10/15/07 3,150 3,047 Household Affinity Credit Card Master Note Trust, Ser 2003-1, Cl B (C) 6.161%, 10/15/07 1,250 1,252 MBNA Credit Card Master Note Trust, Ser 2006-A1, Cl A1 4.900%, 07/15/11 1,500 1,502 MBNA Credit Card Master Note Trust, Ser 2006-C2, Cl C2 5.911%, 08/15/13 1,200 1,158 MBNA Master Credit Card Trust, Ser 1997-B, Cl B 5.664%, 08/15/14 2,100 2,051 MBNA Master Credit Card Trust, Ser 1999-J, Cl C 7.850%, 02/15/12 1,500 1,565 - -------------------------------------------------------------------------------- 142 SEI Institutional Managed Trust / Annual Report / September 30, 2007 - -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) - -------------------------------------------------------------------------------- Washington Mutual Master Note Trust, Ser 2006-C2A, Cl C2 (B) (C) 6.111%, 10/15/07 $ 800 $ 797 Washington Mutual Master Note Trust, Ser 2006-C3A, C3A (C) 5.892%, 10/15/13 1,000 977 -------------- 45,342 -------------- MORTGAGE RELATED SECURITIES -- 24.5% Ace Securities, Ser 2006-HE1, Cl M2 (C) 5.530%, 10/27/07 515 419 Ace Securities, Ser 2006-OP2, Cl A2B 5.240%, 08/25/36 1,000 987 Adjustable Rate Mortgage Trust, Ser 2005-12, Cl 2A1 (C) 5.690%, 03/25/36 1,107 1,114 American Tower Trust, Ser 2007-1A, Cl D 5.957%, 04/15/37 1,250 1,185 Ameriquest Mortgage Securities, Ser 2004-R12, Cl A3 (C) 5.600%, 10/08/07 113 113 Arkle Master Issuer PLC, Ser 2006-1A, Cl 3M (C) 5.550%, 11/20/07 1,000 980 Asset-Backed Funding Certificates, Ser 2006-OPT2, Cl A3B (C) 5.430%, 10/25/07 1,100 1,082 Banc of America Funding, Ser 2005-F, Cl 4A1 (C) 5.350%, 10/01/07 2,519 2,519 Banc of America Mortgage Securities, Ser 2005-I, Cl 2A1 (C) 4.870%, 10/01/07 754 748 Bank of America Mortgage Securities, Ser 2004-J, Cl 2A1 (C) 4.770%, 10/01/07 381 381 Bank of America Mortgage Securities, Ser 2005-C, Cl 2A2 (C) 4.710%, 10/01/07 1,088 1,081 Bayview Commercial Asset Trust, Ser 2006-4A, Cl A2 5.400%, 12/25/36 602 597 Bear Stearns Adjustable Rate Mortgage Trust, Ser 2005-12, Cl 11A1 (C) 5.430%, 10/01/07 871 870 Bear Stearns Adjustable Rate Mortgage Trust, Ser 2005-6, Cl 3A1 (C) 5.286%, 10/01/07 2,031 2,032 Bear Stearns Adjustable Rate Mortgage Trust, Ser 2005-9, Cl A1 4.630%, 10/25/35 2,827 2,775 - -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) - -------------------------------------------------------------------------------- Bear Stearns Adjustable Rate Mortgage Trust, Ser 2006-1, Cl A1 (C) 4.630%, 10/01/07 $ 2,422 $ 2,378 Bear Stearns Asset-Backed Securities, Ser 2005-HE11, Cl A1 (C) 5.440%, 10/25/07 87 87 Bear Stearns Commercial Mortgage Trust, Ser 2001-TOP2, Cl A2 6.480%, 02/15/35 2,100 2,189 CapitalSource Commercial Loan Trust, Ser 2006-2A, Cl A1A (C) 5.530%, 10/20/07 730 725 CapitalSource Commercial Loan Trust, Ser 2007-1A, Cl C 6.150%, 03/20/17 633 633 Citigroup Commercial Mortgage Trust, Ser 2006-FL2, Cl D 5.530%, 08/15/21 400 397 Citigroup Commercial Mortgage Trust, Ser 2007-FL3A, Cl J 6.703%, 10/30/07 775 724 Citigroup Mortgage Loan Trust, Ser 2004-HYB3, Cl 1A (C) 5.790%, 10/01/07 303 304 Citigroup Mortgage Loan Trust, Ser 2006-AR1, Cl 1A1 (C) 4.900%, 10/25/35 800 794 Citigroup Mortgage Loan Trust, Ser 2006-WFH3, Cl M1 (C) 5.800%, 10/27/07 805 663 Commercial Mortgage Pass-Through Certificate, Ser 2006-FL12, Cl A2 5.850%, 12/15/20 1,034 1,031 Countrywide Alternative Loan Trust, Ser 2007-HY5R, Cl 2A1A (C) 5.540%, 10/01/07 3,712 3,705 Countrywide Asset-Backed Certificates, Ser 2005-13, Cl 3AV3 (C) 5.380%, 10/25/07 1,310 1,277 Countrywide Asset-Backed Certificates, Ser 2006-18, Cl M1 (C) 5.620%, 03/25/37 1,000 830 Countrywide Asset-Backed Certificates, Ser 2006-2, Cl 2A2 (C) 5.700%, 10/25/07 2,000 1,976 Countrywide Asset-Backed Certificates, Ser 2006-22, Cl M1 5.360%, 05/25/37 1,500 1,287 Countrywide Asset-Backed Certificates, Ser 2006-22, Cl M3 5.440%, 05/25/37 1,000 639 Countrywide Home Loans, Ser 2005-22, Cl 2A1 5.303%, 11/25/35 822 819 - -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Annual Report / September 30, 2007 143 SCHEDULE OF INVESTMENTS Enhanced Income Fund (Continued) September 30, 2007 - -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) - -------------------------------------------------------------------------------- Countrywide Home Loans, Ser 2005-HY10, Cl 3A1A (C) 5.380%, 10/01/07 $ 550 $ 554 Credit Suisse First Boston Mortgage Securities, Ser 2000-C1, Cl A2 7.545%, 04/15/62 2,400 2,511 Crown Castle Towers LLC, Ser 2006-1A, Cl E 6.065%, 11/15/36 1,775 1,788 Crusade Global Trust, Ser 2004-2, Cl A1 5.490%, 11/19/37 245 245 Crusade Global Trust, Ser 2006-1, Cl A1 5.418%, 07/20/38 1,501 1,485 Crusade Global Trust, Ser 2007-1, Cl A1 (C) 5.420%, 04/19/38 1,456 1,434 Diversified REIT Trust, Ser 1999-1A, Cl A2 6.780%, 03/18/11 963 973 First Franklin Mortgage Loan Asset, Ser 2007-FF1, Cl M2 5.765%, 01/25/38 1,145 946 First Horizon Alternative Mortgage Trust, Ser 2005-AA3, Cl 3A1 (C) 5.351%, 10/01/07 1,558 1,568 First Horizon Mortgage Pass-Through Certificate, Ser 2005-AR4, Cl 2A1 (C) 5.329%, 10/25/35 1,248 1,241 GE Commercial Equipment Financing, Ser 2004-1, Cl B (C) 5.520%, 10/20/07 591 589 GE Commercial Loan Trust, Ser 2006-3, Cl C (B) (C) 5.910%, 10/19/07 472 442 GMAC Commercial Mortgage Securities, Ser 1998-C2, Cl A2 6.420%, 05/15/35 1,066 1,072 GMAC Commercial Mortgage Securities, Ser 1999-CTL1, Cl A (B) 7.151%, 12/15/16 201 201 GMAC Mortgage Loan Trust, Ser 2005-AR6, Cl 2A1 (C) 5.200%, 10/01/07 2,806 2,792 GMAC Mortgage Loan Trust, Ser 2006-HE4, Cl A2 (C) 5.640%, 10/25/07 1,150 1,123 GS Mortgage Securities, Ser 2003-C1, Cl A2A 3.590%, 01/10/40 1,491 1,481 GS Mortgage Securities, Ser 2007-EOP, Cl K (C) 6.850%, 10/06/07 380 364 - -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) - -------------------------------------------------------------------------------- GSR Mortgage Loan Trust, Ser 2005-AR2, Cl 1A2 (C) 4.596%, 10/01/07 $ 725 $ 714 GSR Mortgage Loan Trust, Ser 2006-AR1, Cl 2A2 5.181%, 01/25/36 1,557 1,550 GSR Mortgage Loan Trust, Ser 2006-AR1, Cl 3A1 5.413%, 01/25/36 738 735 GSR Mortgage Loan Trust, Ser 2006-AR2, Cl 3A1 5.748%, 04/25/36 1,072 1,081 GSR Mortgage Loan Trust, Ser 2007-AR1, Cl 2A1 6.013%, 03/25/37 2,333 2,355 Gracechurch Mortgage Financing PLC, Ser 2007-1A, Cl 2D1 5.750%, 11/20/56 1,195 1,146 Granite Master Issuer PLC, Ser 2006-3, Cl M1 (C) 5.538%, 10/22/07 570 570 Granite Master Issuer PLC, Ser 2007-1, Cl 1C1 5.660%, 12/20/54 410 381 Granite Master Issuer PLC, Ser 2007-2, Cl 2C1 5.350%, 12/17/54 525 525 Greenwich Capital Commercial Funding, Ser 2006-FL4A, Cl C 5.990%, 11/05/21 810 794 Harborview Mortgage Loan Trust, Ser 2005-14, Cl 3A1A (C) 5.304%, 12/19/35 1,790 1,791 Holmes Master Issuer PLC, Ser 2007-1, Cl 1C1 (C) 5.640%, 10/16/07 475 473 Holmes Master Issuer PLC, Ser 2007-2A, Cl 1C (C) 5.604%, 10/16/07 900 895 Impac CMB Trust, Ser 2005-1, Cl 1A1 (C) 5.391%, 10/25/07 490 481 Impac CMB Trust, Ser 2005-4, Cl 1M1 (C) 5.750%, 10/25/07 796 774 IXIS Real Estate Capital Trust, Ser 2006-HE3, Cl A2 (C) 5.230%, 10/25/07 1,250 1,229 Interstar Millennium Trust, Ser 2002-1G, Cl A2 (C) 5.540%, 07/07/34 170 169 JPMorgan Chase Commercial Mortgage Trust, Ser 2006-FL2A, Cl J 6.400%, 11/15/18 2,176 2,096 - -------------------------------------------------------------------------------- 144 SEI Institutional Managed Trust / Annual Report / September 30, 2007 - -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) - -------------------------------------------------------------------------------- JPMorgan Mortgage Acquisition, Ser 2006-CH1, Cl M1 5.350%, 07/25/36 $ 335 $ 295 JPMorgan Mortgage Acquisition, Ser 2006-CH2, Cl MV1 5.340%, 10/25/36 1,125 975 JPMorgan Mortgage Acquisition, Ser 2006-WMC3, Cl A4 (C) 5.280%, 10/25/07 1,250 1,209 JPMorgan Mortgage Acquisition, Ser 2007-CH3, Cl M3 5.500%, 03/01/37 385 316 JPMorgan Mortgage Trust, Ser 2006-A4, Cl 1A1 (C) 5.820%, 10/01/07 2,598 2,611 JPMorgan Mortgage Trust, Ser 2006-A6, Cl 4A1 5.251%, 10/25/36 1,191 1,187 JPMorgan Mortgage Trust, Ser 2007-A3, Cl 1A1 (C) 5.490%, 10/01/07 2,205 2,223 Katonah, Ser 7A, Cl B (B) (C) 5.780%, 11/15/07 700 639 Leek Finance PLC, Ser 18A, Cl A2B (C) 5.368%, 12/21/07 500 496 MLCC Mortgage Investors, Ser 2006-1, Cl 2A1 (C) 5.390%, 02/25/36 1,367 1,370 MLCC Mortgage Investors, Ser 2006-2, Cl 2A (C) 5.500%, 10/01/07 2,661 2,683 Master Adjustable Rate Mortgage, Ser 2004-12, Cl 5A1 (C) 6.500%, 10/01/07 178 179 Merrill Lynch First Franklin Mortgage Loan Trust, Ser 2007-3, Cl B1 (C) 7.070%, 06/25/37 180 79 Merrill Lynch First Franklin Mortgage Loan Trust, Ser 2007-3, Cl M6 (C) 6.320%, 06/25/37 130 80 Merrill Lynch First Franklin Mortgage Loan Trust, Ser 2007-4, Cl M6 (C) 6.205%, 07/25/37 505 363 Merrill Lynch Mortage Investors, Ser 2005-A2, Cl A2 4.490%, 10/01/07 1,846 1,823 Merrill Lynch Mortgage Investors, Ser 2005-A1, Cl 1A (C) 4.750%, 10/01/07 783 787 Merrill Lynch Mortgage Investors, Ser 2005-A9, Cl 2A1A (C) 5.150%, 12/25/35 1,932 1,923 - -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) - -------------------------------------------------------------------------------- Merrill Lynch Mortgage Investors, Ser 2005-A9, Cl 2A1E (C) 5.148%, 12/25/35 $ 2,392 $ 2,384 Merrill Lynch Mortgage-Backed Securities Trust, Ser 2007-2, Cl 1A1 5.800%, 10/01/07 2,451 2,465 Morgan Stanley Capital I, Ser 2007-XLFA, Cl C (C) 5.771%, 10/15/20 1,025 992 Morgan Stanley Dean Witter Capital, Ser 2000-LIFE, Cl A2 7.570%, 11/15/36 870 908 MortgageIT Trust, Ser 2005-5, Cl A1 (C) 5.760%, 10/25/07 1,561 1,538 Nationstar Home Equity Loan Trust, Ser 2006-B, Cl AV2 (C) 5.260%, 09/25/36 1,000 985 New Century Home Equity Loan Trust, Ser 2005-1, Cl A1MZ (C) 5.610%, 10/25/07 88 87 Option One Mortgage Loan Trust, Ser 2005-3, Cl M1 (C) 5.975%, 10/25/07 428 400 Option One Mortgage Loan Trust, Ser 2007-2, Cl M1 (C) 5.490%, 03/25/37 2,635 2,247 Option One Mortgage Loan Trust, Ser 2007-FXD1, Cl 3A3 (C) 5.611%, 01/25/37 285 282 Option One Mortgage Loan Trust, Ser 2007-FXD2, Cl 2A1 (E) 5.900%, 03/25/37 1,542 1,534 Option One Mortgage Loan Trust, Ser 2007-HL1, Cl 2A1 (C) 5.625%, 10/26/07 1,270 1,262 Pendeford Master Issuer PLC, Ser 2007-1A, Cl 1C (C) 5.800%, 05/12/59 1,235 1,230 Permanent Master Issuer PLC, Ser 2006-1, Cl 2C (C) 5.820%, 10/16/07 700 698 Permanent Master Issuer PLC, Ser 2007-1, Cl 1C (C) 5.530%, 07/15/42 670 667 Prima, Ser 2006-1, Cl A1 (C) 5.417%, 10/01/07 2,493 2,464 Prudential Commercial Mortgage Trust, Ser 2003-PWR1, Cl A1 3.669%, 02/11/36 969 945 Residential Funding Mortgage Securities I, Ser 2007-SA2, Cl 2A1 5.688%, 04/25/37 2,254 2,269 - -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Annual Report / September 30, 2007 145 SCHEDULE OF INVESTMENTS Enhanced Income Fund (Continued) September 30, 2007 - -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) - -------------------------------------------------------------------------------- Residential Funding Mortgage Securities, Ser 2006-SA1, Cl 1A1 (C) 5.674%, 02/25/36 $ 661 $ 664 Residential Funding Mortgage Securities, Ser 2007-SA2, Cl 2A2 (C) 5.680%, 10/01/07 1,094 1,108 Residential Funding Mortgage Securities, Ser 2007-SA3, Cl 2A1 5.789%, 07/27/37 2,424 2,412 Sequoia Mortgage Trust, Ser 2004-10, Cl A2 (C) 5.820%, 10/20/07 353 351 Sequoia Mortgage Trust, Ser 2004-11, Cl A1 (C) 5.800%, 10/20/07 268 266 Sequoia Mortgage Trust, Ser 2005-2, Cl A1 (C) 5.800%, 10/20/07 160 157 Sequoia Mortgage Trust, Ser 2007-1, Cl 2A1 (C) 5.830%, 10/20/07 2,274 2,281 VTB Capital, Ser 2006-1, Cl A1 (B) (C) 5.956%, 11/02/07 310 307 WFS Financial Owner Trust, Ser 2005-2, Cl A3 4.170%, 12/17/09 342 341 WFS Financial Owner Trust, Ser 2005-3, Cl B 4.500%, 05/17/13 700 694 Washington Mutual Mortgage Pass-Through Certificate, Ser 2003-AR10, Cl A6 (C) 4.060%, 10/01/07 1,500 1,484 Washington Mutual Mortgage Pass-Through Certificate, Ser 2004-AR5, Cl A6 (C) 3.840%, 10/01/07 1,200 1,176 Washington Mutual Mortgage Pass-Through Certificate, Ser 2005-AR14, Cl 1A4 (C) 5.059%, 12/25/35 2,386 2,372 Washington Mutual Mortgage Pass-Through Certificate, Ser 2005-AR3, Cl A2 (C) 4.637%, 10/01/07 1,409 1,394 Washington Mutual Mortgage Pass-Through Certificate, Ser 2006-AR2, Cl 1A1 (C) 5.310%, 10/01/07 776 770 Wells Fargo Mortgage-Backed Securities Trust, Ser 2005-AR4, Cl 2A2 (C) 5.310%, 10/01/07 539 533 - -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) - -------------------------------------------------------------------------------- Wells Fargo Mortgage-Backed Securities Trust, Ser 2006-AR10, Cl 2A1 (C) 5.640%, 07/25/36 $ 1,276 $ 1,274 Wells Fargo Mortgage-Backed Securities Trust, Ser 2006-AR10, Cl 4A1 5.565%, 07/25/36 2,490 2,478 Wells Fargo Mortgage-Backed Securities Trust, Ser 2006-AR12, Cl 2A1 6.101%, 09/25/36 3,352 3,392 Wells Fargo Mortgage-Backed Securities Trust, Ser 2006-AR16, Cl A1 5.681%, 10/25/36 1,870 1,877 Wells Fargo Mortgage-Backed Securities Trust, Ser 2006-AR5, Cl 2A1 (C) 5.530%, 10/01/07 1,813 1,821 Wells Fargo Mortgage-Backed Securities Trust, Ser 2006-AR6, Cl 3A1 (C) 5.090%, 10/01/07 1,900 1,894 Wells Fargo Mortgage-Backed Securities Trust, Ser 2006-AR8, Cl 2A1 (C) 5.240%, 10/01/07 1,235 1,233 Wells Fargo Mortgage-Backed Securities, Ser 2003-J, Cl 2A4 (C) 4.451%, 10/25/33 350 346 Wells Fargo Mortgage-Backed Securities, Ser 2004-BB, Cl A2 (C) 4.560%, 10/01/07 817 808 Wells Fargo Mortgage-Backed Securities, Ser 2005-AR1, Cl 2A1 4.489%, 02/25/35 1,065 1,053 Wells Fargo Mortgage-Backed Securities, Ser 2005-AR2, Cl 2A2 (C) 4.548%, 10/01/07 923 913 -------------- 151,903 -------------- OTHER ASSET-BACKED SECURITIES -- 4.3% ACAS Business Loan Trust, Ser 2007-1A, Cl C (C) 6.203%, 08/16/19 2,290 2,145 AICCO Premium Finance Master Trust, Ser 2007-AA, Cl C (C) 6.612%, 10/15/07 1,245 1,207 Babson CLO, Ser 2007-1A, Cl A1 (C) 5.590%, 10/18/07 1,120 1,103 Blackrock Senior Income Series, Ser 2006-4A, Cl C (C) 6.035%, 04/20/19 1,930 1,648 C-Bass, Ser 16A, Cl A (C) 5.610%, 12/06/07 537 510 CIT Equipment Collateral, Ser 2006-VT2, Cl C 5.290%, 04/20/14 141 140 - -------------------------------------------------------------------------------- 146 SEI Institutional Managed Trust / Annual Report / September 30, 2007 - -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) - -------------------------------------------------------------------------------- Capital One Multi-Asset Execution Trust, Ser 2007-C3, Cl C3 5.901%, 10/15/07 $ 3,000 $ 2,917 Capital Trust Re CDO Ltd., Ser 2006-4A, Cl A1 (C) 5.810%, 10/20/43 1,152 1,095 Caterpillar Financial Asset Trust, Ser 2005-A, Cl A3 3.900%, 02/25/09 174 174 Caterpillar Financial Asset Trust, Ser 2006-A, Cl A3 5.570%, 05/25/10 1,250 1,254 Chase Issuance Trust, Ser 2007-A15, Cl A 4.960%, 09/17/12 2,000 2,000 Chase Issuance Trust, Ser 2007-A14, Cl A14 5.379%, 09/15/11 3,100 3,084 Domino's Pizza Master Issuer LLC, Ser 2007-1, Cl A2 5.261%, 04/25/37 2,200 2,180 GE Business Loan Trust, Ser 2003-2A, Cl B (C) 6.750%, 11/15/31 126 125 GE Business Loan Trust, Ser 2004-2A, Cl A (C) 5.970%, 12/15/32 152 150 GE Business Loan Trust, Ser 2004-2A, Cl B (C) 6.230%, 12/15/32 114 112 GE Business Loan Trust, Ser 2006-2A, Cl D (C) 6.500%, 11/15/34 298 282 GE Dealer Floorplan Master Note Trust, Ser 2006-2, Cl C (C) 5.968%, 04/20/13 460 436 John Deere Owner Trust, Ser 2007-A, Cl A2 5.210%, 10/15/09 375 375 Lambda Finance, Ser 2005-1A, Cl A3 (C) 5.788%, 11/15/29 1,600 1,582 Marriott Vacation Club Owner Trust, Ser 2006-2A, Cl A 5.360%, 10/20/28 210 211 Marriott Vacation Club Owner Trust, Ser 2007-1A, Cl D 6.159%, 05/20/29 986 989 Mayport CLO, Ser 2006-1A, Cl A2L (C) 5.720%, 02/22/20 1,005 930 Mayport CLO, Ser 2006-1A, Cl A3L (C) 6.010%, 02/22/20 270 233 Race Point CLO, Ser 2007-4A, Cl D 7.356%, 02/01/08 500 421 - -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) - -------------------------------------------------------------------------------- Superior Wholesale Inventory Financing Trust, Ser 2007-AE1, Cl B (C) 5.911%, 10/15/07 $ 115 $ 111 Superior Wholesale Inventory Financing Trust, Ser 2007-AE1, Cl C (C) 6.211%, 01/15/12 215 207 Triton Container Finance LLC, Ser 2006-1A, Cl N (C) 5.490%, 11/26/21 694 674 Wadsworth CDO, Ser 2006-1A, Cl A2 (C) 5.746%, 11/02/46 940 423 Wadsworth CDO, Ser 2006-1A, Cl B (C) 5.820%, 11/05/46 315 126 -------------- 26,844 -------------- Total Asset-Backed Securities (Cost $258,686) ($ Thousands) 253,465 -------------- LOAN PARTICIPATIONS -- 28.4% Acument Global Tech 8.860%, 08/11/13 1,987 1,948 Alpha Topco 7.915%, 12/31/13 2,500 2,400 Alpha Topco, 2nd Lien 9.040%, 06/30/14 2,000 1,905 Applied Systems 7.854%, 09/26/13 496 481 Aspect Software, Tranche A-1 Term Loan 8.375%, 07/11/11 1,150 1,092 Barrington 7.748%, 08/05/13 993 975 Berry Plastics Holdings, Term C Loan 7.357%, 04/03/15 1,995 1,944 Big Dumpster Acquisition 7.610%, 02/05/13 979 939 0.000%, 02/05/13 (D) 21 1 Bio Tech Research Lab 7.360%, 03/17/14 996 896 Brickman Group Holdings 7.340%, 01/23/14 998 965 Buffets Holding 8.110%, 11/01/13 2 2 Burlington Coat Factory 7.760%, 05/28/13 2,961 2,835 CCS Medical 8.820%, 09/30/12 1,967 1,933 8.450%, 09/30/12 2,455 2,412 Caritor 7.610%, 05/17/13 1,860 1,712 Caritor (Synthetic) 7.610%, 05/11/13 140 128 Cellnet Group 7.360%, 07/22/11 1,999 1,924 - -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Annual Report / September 30, 2007 147 SCHEDULE OF INVESTMENTS Enhanced Income Fund (Continued) September 30, 2007 - -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) - -------------------------------------------------------------------------------- Cequel Communications 7.360%, 11/05/13 $ 1,995 $ 1,916 7.351%, 11/05/13 1,995 1,916 Charter Communications 7.360%, 06/05/14 1,000 966 7.360%, 03/06/14 1,500 1,449 7.360%, 06/05/14 2,000 1,932 Chiquita Brands 8.563%, 06/28/12 990 978 Clarke American, Tranche B 7.840%, 03/09/14 2,000 1,855 Cooper-Standard Auto 7.875%, 12/23/11 1,010 986 DTN 8.370%, 08/15/14 993 970 Delphi 8.125%, 12/31/07 2,000 1,988 7.625%, 12/31/07 1,000 994 Delta Air Lines, 2nd Lien 8.610%, 04/30/14 1,000 968 Dynea North, 1st Lien 8.110%, 07/10/14 2,000 1,945 Eddie Bauer 8.570%, 04/01/14 998 973 Emerson Reinsurance, Term A Loan 7.110%, 12/15/11 1,300 1,261 Emerson Reinsurance, Term B Loan 8.360%, 12/15/11 500 485 Emerson Reinsurance, Term C Loan 10.640%, 12/15/11 200 194 Euramax International, 1st Lien 8.375%, 06/29/12 1,489 1,373 FSB Holding 7.875%, 09/29/13 500 490 Ferro 7.219%, 06/06/12 2,345 2,280 1.000%, 06/06/12 (D) 644 18 Foamex LP, 1st Lien 7.699%, 02/12/13 3,000 2,803 Fontainebleau Miami 11.703%, 06/06/12 2,500 2,381 Ford Motor 8.700%, 12/15/13 993 962 GTM Holding 8.110%, 10/13/13 995 965 Generac Acquisition 7.850%, 11/15/13 1,980 1,772 Ginn La Conduit Lender 8.860%, 06/08/11 681 570 5.250%, 06/08/11 315 264 - -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) - -------------------------------------------------------------------------------- Ginn La Conduit Lender, 1st Lien, Tranche A 5.250%, 06/08/11 $ 315 $ 264 Ginn La Conduit Lender, 1st Lien, Tranche B 8.860%, 06/08/11 681 570 Global Petroleum 9.855%, 07/26/13 1,980 1,901 Graham Packaging Company LP, Term B Loan 7.625%, 10/07/11 1,995 1,962 Green Valley Ranch Gaming 7.542%, 02/16/14 2,992 2,902 Green Valley Ranch Gaming, 2nd Lien 8.791%, 08/16/14 1,000 948 HCA 7.610%, 11/07/13 1,990 1,947 Healthsouth 7.848%, 03/10/13 620 605 II Exploration (Synthetic) 9.110%, 10/28/13 150 144 II Exploration, LP, Term B Loan 8.913%, 10/28/13 848 814 IPC Systems, Tranche B-1 7.610%, 05/31/14 5 5 Ipayment 7.437%, 05/10/13 1,980 1,861 JHT Holding 10.116%, 12/21/12 1,945 1,828 Kuilima Resort 12.000%, 09/30/10 1,577 1,441 LNR Property 8.110%, 07/12/11 1,000 960 Lake at Las Vegas 15.460%, 06/20/12 1,759 1,513 Lake at Las Vegas (Synthetic) 15.460%, 06/20/12 241 207 Land Investors 8.070%, 05/09/11 1,167 1,038 Latham Manufacturing 8.520%, 06/30/12 995 938 Lifecare Holding 8.360%, 08/11/12 497 458 MGM Holding II 8.610%, 04/08/12 2,985 2,862 MGM Holdings II LOC, Tranche B 8.610%, 04/08/12 292 280 Medical Staffing Network, 1st Lien 10.750%, 07/02/13 1,000 990 Metro PCS Wireless 7.625%, 11/03/13 2,479 2,441 - -------------------------------------------------------------------------------- 148 SEI Institutional Managed Trust / Annual Report / September 30, 2007 - -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) - -------------------------------------------------------------------------------- Metro PCS Wireless, Tranche B 7.625%, 11/04/13 $ 1,000 $ 985 7.625%, 02/20/14 990 975 Michaels Stores 7.638%, 10/31/13 1,496 1,449 Monitor Oil 17.360%, 12/14/14 1,000 985 10.860%, 12/14/13 995 990 Monitor Oil, 2nd Lien (D) 0.000%, 01/25/15 47 -- Movie Gallery, 1st Lien 3.144%, 03/08/12 480 437 0.000%, 03/08/12 (E) 1,440 1,310 Movie Gallery, 1st Lien (Synthetic) 3.139%, 03/08/12 20 18 0.000%, 03/08/12 (E) 60 55 NE Energy 8.090%, 11/01/13 1,730 1,675 7.750%, 11/01/13 211 205 National Cine Media LLC 7.110%, 02/13/15 2,000 1,918 National Money Mart 8.050%, 10/30/12 995 970 Nep II 7.610%, 02/16/14 1,995 1,895 Nielsen Finance LLC (E) 0.000%, 08/09/13 995 965 Northwest Airlines 7.510%, 08/21/08 990 945 Orbitz Worldwide 8.340%, 07/25/14 2,000 1,947 Pinnacle Foods Group 8.110%, 04/19/14 1,000 966 Pivotal Promontory LLC 8.070%, 08/31/10 2,959 2,693 Protection One Alarm Monitoring 7.590%, 03/31/12 967 943 Realogy (Synthetic) (E) 0.000%, 10/10/13 648 609 Realogy, Term B Loan (E) 0.000%, 10/10/13 2,847 2,669 Riverdeep Interactive Learning USA 8.110%, 12/20/13 995 981 Roofing Supply Group 9.360%, 06/30/13 993 893 Sabre 7.608%, 09/30/14 5,831 5,553 Serena Software 7.336%, 03/10/13 1,840 1,766 Sirva Worldwide 11.608%, 12/01/10 1,787 1,193 - -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) - -------------------------------------------------------------------------------- Sitel LLC 7.850%, 01/30/14 $ 2,916 $ 2,697 Solo Cup 8.947%, 02/27/11 958 951 8.940%, 02/27/11 953 945 Sorenson Communications 7.860%, 02/16/14 981 966 Spirit Finance 8.360%, 07/15/13 3,500 3,237 Stile Acquisition 7.360%, 04/06/13 995 934 Stratos Global 8.110%, 02/13/12 1,980 1,930 The Newark Group 7.570%, 03/22/13 2,000 1,920 Total Safety, Tranche B, 1st Lien 8.329%, 12/08/12 1,000 970 Totes Isotoner, 1st Lien 7.839%, 01/31/13 1,493 1,433 7.835%, 01/31/13 1,739 1,669 0.000%, 01/31/13 (E) 748 718 Travelport LLC (Synthetic) (E) 0.000%, 08/23/13 95 93 Travelport LLC, Term B Loan (E) 0.000%, 08/23/13 743 723 Tribune, Tranche B 8.360%, 05/09/14 3,000 2,722 Tribune, Tranche X 7.860%, 05/09/09 1,867 1,845 US Airways Group 7.860%, 03/19/14 6,500 6,177 Univision Communications 7.605%, 08/15/14 470 444 1.000%, 08/15/14 (D) 30 2 VML US Finance LLC 7.610%, 05/25/13 1,000 975 VNU 7.360%, 08/01/13 993 961 Venoco 9.360%, 04/28/11 2,000 1,967 Venoco, 2nd Lien 9.360%, 05/07/14 1,000 984 Verint Systems 8.106%, 05/09/14 1,877 1,825 Vertafore, 1st Lien 8.005%, 01/31/12 1,492 1,447 Waiccs Las Vegas 3 LLC, 1st Lien 8.828%, 07/30/08 2,000 1,970 Waiccs Las Vegas 3 LLC, 2nd Lien 14.328%, 07/30/08 2,000 1,970 - -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Annual Report / September 30, 2007 149 SCHEDULE OF INVESTMENTS Enhanced Income Fund (Continued) September 30, 2007 - -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) - -------------------------------------------------------------------------------- WideOpenWest Finance, 1st Lien 7.932%, 06/01/14 $ 3,000 $ 2,872 0.000%, 06/30/14 (E) 2,000 1,915 WideOpenWest Finance, 2nd Lien 11.610%, 06/27/15 1,250 1,175 Wm. Bolthouse Farms 7.625%, 12/17/12 2,982 2,856 -------------- Total Loan Participations (Cost $184,387) ($ Thousands) 176,308 -------------- CORPORATE OBLIGATIONS -- 12.8% CONSUMER DISCRETIONARY -- 2.0% CBS 7.700%, 07/30/10 1,000 1,062 COX Communications 4.625%, 01/15/10 1,000 988 4.625%, 06/01/13 1,500 1,415 CVS Caremark (C) 5.660%, 12/04/07 1,410 1,405 Comcast 5.500%, 03/15/11 1,500 1,503 Daimler Finance NA LLC 4.875%, 06/15/10 1,500 1,483 Harrah's Operating 5.500%, 07/01/10 1,000 960 Macy's Retail Holdings 5.350%, 03/15/12 935 917 Time Warner Cable (B) 5.400%, 07/02/12 2,100 2,074 Univision Communications 3.875%, 10/15/08 825 800 -------------- 12,607 -------------- CONSUMER STAPLES -- 0.3% Altria Group 7.000%, 11/04/13 1,000 1,087 Miller Brewing (B) 4.250%, 08/15/08 1,000 990 -------------- 2,077 -------------- ENERGY -- 0.1% Canadian Natural Resources 5.700%, 05/15/17 750 732 -------------- FINANCIALS -- 8.6% American General Financial MTN, Ser I 4.875%, 07/15/12 1,000 966 Ameriprise Financial 5.350%, 11/15/10 1,000 1,007 BTM Holding (B) 4.760%, 07/21/15 1,000 976 - -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) - -------------------------------------------------------------------------------- Banco Santander Chile (B) (C) 5.710%, 12/09/07 $ 1,750 $ 1,752 CIT Group 5.635%, 07/28/11 (C) 1,500 1,386 3.375%, 04/01/09 1,000 955 Capmark Financial Group (B) (C) 6.030%, 05/10/10 2,500 2,331 Citigroup (C) 5.910%, 08/25/36 1,500 1,410 Comerica Bank 5.450%, 05/10/10 2,350 2,350 Countrywide Financial MTN (C) 5.500%, 10/05/07 2,500 2,370 Everest Reinsurance Holdings 8.750%, 03/15/10 1,050 1,135 6.600%, 05/15/37 2,000 1,855 Goldman Sachs Capital III (C) 6.350%, 09/29/49 2,600 2,361 Hartford Financial Services Group 7.900%, 06/15/10 1,000 1,079 ILFC E-Capital Trust I (B) (C) 5.900%, 12/21/07 1,000 993 JPMorgan Chase Capital XXI, Ser U (C) 6.309%, 02/02/37 2,550 2,272 Lehman Brothers Holdings 6.200%, 09/26/14 2,000 2,008 Liberty Property LP+ 7.250%, 03/15/11 1,000 1,041 Mellon Funding (C) 5.510%, 05/15/14 2,100 2,083 Merrill Lynch (C) 6.251%, 12/12/07 700 653 Metlife 5.000%, 06/15/15 2,000 1,907 Monumental Global Funding (B) (C) 5.560%, 10/16/07 1,800 1,800 Morgan Stanley MTN, Ser G (C) 5.660%, 10/04/07 1,700 1,648 Progressive 6.700%, 12/15/07 2,330 2,261 Prudential Financial MTN 5.100%, 12/14/11 310 308 RSHB Capital 7.175%, 05/16/13 (B) 115 118 6.299%, 05/15/17 1,065 1,003 Reinsurance Group of America 5.625%, 03/15/17 1,400 1,352 State Street (C) 5.460%, 04/30/12 1,215 1,205 State Street Cap Trust IV (C) 6.355%, 06/15/37 850 769 Textron Financial MTN 5.125%, 02/03/11 1,000 995 - -------------------------------------------------------------------------------- 150 SEI Institutional Managed Trust / Annual Report / September 30, 2007 - -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) - -------------------------------------------------------------------------------- Travelers MTN 5.375%, 06/15/12 $ 2,130 $ 2,151 UBS Luxembourg 6.230%, 02/11/15 500 499 Union Planters 7.750%, 03/01/11 1,000 1,074 Unitrin 6.000%, 05/15/17 1,270 1,235 4.875%, 11/01/10 1,000 990 VTB 24 Capital PLC MTN, Ser E 6.540%, 12/07/09 1,000 981 Western Union 5.400%, 11/17/11 1,175 1,173 Willis North America 5.125%, 07/15/10 1,000 990 -------------- 53,442 -------------- HEALTH CARE -- 0.3% Quest Diagnostic 5.125%, 11/01/10 1,000 999 Wyeth 6.950%, 03/15/11 1,000 1,048 -------------- 2,047 -------------- INDUSTRIALS -- 0.4% Continental Airlines, Ser 061G 5.710%, 06/02/13 1,000 1,000 Continental Airlines, Ser 1998-3 6.320%, 11/01/08 1,270 1,267 -------------- 2,267 -------------- INFORMATION TECHNOLOGY -- 0.1% Freescale Semiconductor 8.875%, 12/15/14 500 482 -------------- REGIONAL AGENCIES -- 0.1% Republic of Trinidad & Tobago 9.875%, 10/01/09 500 548 -------------- TELECOMMUNICATION SERVICES -- 0.5% Corning 6.050%, 06/15/15 1,000 1,005 Telecom Italia Capital (C) 5.970%, 10/18/07 1,000 994 Vodafone Group PLC 5.785%, 11/27/07 1,300 1,285 -------------- 3,284 -------------- - -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) - -------------------------------------------------------------------------------- UTILITIES -- 0.4% Nisource Finance (C) 6.064%, 11/23/07 $ 1,500 $ 1,488 Southern, Ser A 5.300%, 01/15/12 665 665 -------------- 2,153 -------------- Total Corporate Obligations (Cost $81,249) ($ Thousands) 79,639 -------------- U.S. GOVERNMENT AGENCY MORTGAGE-BACKED OBLIGATIONS -- 6.1% FHLB (A) 0.000%, 12/27/07 1,000 988 FHLMC 6.000%, 09/01/26 1,332 1,339 FHLMC CMO, Ser 3153, Cl FX (C) 5.961%, 10/15/07 2,556 2,539 FHLMC, Ser RB (A) 4.898%, 10/09/07 470 469 FHLMC CMO STRIPS, Ser 245, Cl IO, IO 5.000%, 05/15/37 1,698 478 FNMA 6.500%, 09/01/26 746 762 6.000%, 11/01/14 to 01/01/27 14,600 14,756 4.592%, 12/19/07 (A) 1,000 990 0.000%, 11/07/03 (A) 500 498 FNMA CMO STRIPS, Ser 377, Cl 2, IO 5.000%, 10/01/36 1,796 479 FNMA CMO, Ser 2003-8, Cl BN 4.500%, 03/25/16 1,512 1,500 FNMA TBA 6.000%, 10/01/26 7,955 7,998 5.500%, 10/15/22 5,000 4,987 -------------- Total U.S. Government Agency Mortgage-Backed Obligations (Cost $37,843) ($ Thousands) 37,783 -------------- TIME DEPOSITS -- 6.4% Barclays Bank London 4.890%, 11/13/07 8,661 8,661 Lloyds TSB London 5.260%, 10/10/07 5,229 5,229 Royal Bank of Canada 4.800%, 11/13/07 9,099 9,099 Royal Bank of Scotland 5.640%, 10/31/07 3,122 3,122 5.450%, 10/10/07 5,668 5,668 UBS London 5.570%, 10/31/07 7,782 7,782 -------------- Total Time Deposits (Cost $39,561) ($ Thousands) 39,561 -------------- - -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Annual Report / September 30, 2007 151 SCHEDULE OF INVESTMENTS Enhanced Income Fund (Concluded) September 30, 2007 - -------------------------------------------------------------------------------- Shares/Face Amount Market Value Description ($ Thousands) ($ Thousands) - -------------------------------------------------------------------------------- CASH EQUIVALENT*++ -- 5.7% SEI Daily Income Trust, Prime Obligation Fund, Cl A, 5.350% 35,252,174 $ 35,252 -------------- Total Cash Equivalent (Cost $35,252) ($ Thousands) 35,252 -------------- CERTIFICATE OF DEPOSIT -- 0.1% Sovereign Bank 4.000%, 02/01/08 $ 400 398 -------------- Total Certificate of Deposit (Cost $398) ($ Thousands) 398 -------------- REPURCHASE AGREEMENT (F) -- 2.0% Merrill Lynch 5.100%, dated 09/28/07, to be repurchased on 10/01/07, repurchase price $12,805,440 (collateralized by various U.S. Government Obligations ranging in par value $5,440,000- $9,745,697, 6.000%, 03/01/36- 12/01/36; with total market value $13,059,236) 12,800 12,800 -------------- Total Repurchase Agreement (Cost $12,800) ($ Thousands) 12,800 -------------- Total Investments -- 102.3% (Cost $650,176) ($ Thousands) $ 635,206 ============== A summary of the open futures contracts held by the Fund at September 30, 2007, is as follows (see Note 2 in Notes to Financial Statements): - -------------------------------------------------------------------------------- UNREALIZED NUMBER OF APPRECIATION TYPE OF CONTRACTS EXPIRATION (DEPRECIATION) CONTRACT LONG (SHORT) DATE ($ THOUSANDS) - -------------------------------------------------------------------------------- 90-Day Euro$ 174 Dec-2007 $ 121 90-Day Euro$ (347) Sep-2008 (438) 90-Day Euro$ 175 Dec-2010 182 U.S. 2-Year Note 326 Dec-2007 198 U.S. 5-Year Note (213) Dec-2007 (60) U.S. 10-Year Note (695) Dec-2007 (112) -------- $ (109) ======== A summary of the outstanding forward foreign currency contracts held by the Fund at September 30, 2007, is as follows (see Note 2 in Notes to Financial Statements): - -------------------------------------------------------------------------------- UNREALIZED CURRENCY CURRENCY APPRECIATION MATURITY TO DELIVER TO RECEIVE (DEPRECIATION) DATE ($ THOUSANDS) ($ THOUSANDS) ($ THOUSANDS) - -------------------------------------------------------------------------------- 10/10/07 AUD 7,409 GBP 3,094 $ (251) 10/10/07-1/11/08 AUD 13,093 JPY 1,236,000 (738) 10/10/07 AUD 6,045 USD 5,120 (227) 10/10/07 CAD 5,000 USD 4,825 (208) 10/10/07 CHF 1,764 EUR 1,079 23 10/10/07-2/12/08 CHF 66,600 GBP 27,650 (1,036) 10/10/07-3/12/08 CHF 20,900 NZD 24,009 40 10/10/07-3/12/08 CHF 55,300 USD 46,208 (1,386) 10/10/07 EUR 4,072 CHF 6,704 (48) 10/10/07 GBP 1,017 AUD 2,487 128 10/10/07-2/12/08 GBP 25,999 CHF 62,300 716 10/10/07-2/13/08 GBP 22,247 JPY 5,184,000 88 10/10/07 GBP 5,011 USD 10,126 (80) 10/10/07-3/12/08 JPY 2,310,000 AUD 23,449 441 10/10/07-3/12/08 JPY 6,893,000 GBP 29,473 (392) 10/10/07-3/12/08 JPY 4,261,000 USD 36,583 (831) 10/10/07-1/11/08 NZD 14,854 CHF 12,600 (327) 10/10/07 USD 1,157 AUD 1,395 77 10/10/07 USD 636 CAD 670 39 10/10/07-3/12/08 USD 46,524 CHF 55,300 1,070 10/10/07 USD 8,286 GBP 4,126 117 10/10/07-2/13/08 USD 29,450 JPY 3,432,000 645 ---------- $ (2,140) ========== A summary of outstanding swap agreements held by the Fund at September 30, 2007, is as follows (see Note 2 in Notes to Financial Statements):
- ----------------------------------------------------------------------------------------------- TOTAL RETURN SWAP - ----------------------------------------------------------------------------------------------- NOTIONAL NET UNREALIZED EXPIRATION AMOUNT APPRECIATION DESCRIPTION DATE ($ THOUSANDS) ($ THOUSANDS) - ----------------------------------------------------------------------------------------------- The Fund receives payment on the monthly reset spread from Lehman Brothers--CMBS AAA 8.5+ Index plus 30 basis points times the notional amount. The Fund receives payment if the return on the spread appreciates over the payment period and pays if the return on the spread depreciates over the payment period. (Counterparty: Goldman Sachs International) 11/01/07 $ 33,000 $ 202 =========
- ----------------------------------------------------------------------------------------------- INTEREST RATE SWAP - ----------------------------------------------------------------------------------------------- NET NOTIONAL UNREALIZED EXPIRATION AMOUNT APPRECIATION DESCRIPTION DATE ($ THOUSANDS) ($ THOUSANDS) - ----------------------------------------------------------------------------------------------- The Fund receives a fixed rate of 5.055% and pays a floating rate based on the 3-Month LIBOR Index. (Counterparty Goldman Sachs International) 09/14/17 $ 3,150 $ 43 =========
- -------------------------------------------------------------------------------- 152 SEI Institutional Managed Trust / Annual Report / September 30, 2007
- ----------------------------------------------------------------------------------------------- CREDIT DEFAULT SWAPS - ----------------------------------------------------------------------------------------------- NET UNREALIZED NOTIONAL APPRECIATION EXPIRATION AMOUNT (DEPRECIATION) DESCRIPTION DATE ($ THOUSANDS) ($ THOUSANDS) - ----------------------------------------------------------------------------------------------- Fund receives a quarterly payment of 0.0475% (0.190% per annum) times notional amount of Republic of Italy, 6.875%, 09/27/23. Upon a defined credit event the Fund pays the notional amount and takes receipt of the deliverable obligation. (Counterparty: Goldman Sachs International) 12/20/16 ($1,700) $ 5 Fund receives a monthly payment of 0.045% (0.540% per annum) times notional amount of ABX.HE.A 06-1 Index. Upon a defined credit event the Fund pays the notional amount and takes receipt of the deliverable obligation. (Counterparty: Goldman Sachs International 07/25/45 (10,500) (1,501) Fund receives a monthly payment of 0.285% (0.570% per annum) times notional amount of CDS GAZZPR. Upon a defined credit event the Fund pays the notional amount and takes receipt of the deliverable obligation. (Counterparty: Goldman Sachs International) 06/20/12 (8,800) (148) Fund pays a semi-annual payment of 0.430% (0.860% per annum) times notional amount of CDS GAZZPR. Upon a defined credit event the Fund receives the notional amount and delivers the deliverable obligation. (Counterparty: Goldman Sachs International) 06/20/17 5,200 149 Fund receives a quarterly payment of 0.1975% (0.790% per annum) times notional amount of MBIA, 6.625%, 10/1/28. Upon a defined credit event the Fund pays the notional amount and takes receipt of the deliverable obligation. (Counterparty: Goldman Sachs International) 09/20/12 (3,000) (65) Fund receives a semi-annual payment of 0.1875% (0.375% per annum) times notional amount of Pemex Master Trust, 9.500%, 9/15/27. Upon a defined credit event the Fund pays the notional amount and takes receipt of the deliverable obligation. (Counterparty: Goldman Sachs International) 06/20/12 (8,400) (35) Fund pays a monthly payment of 0.285% (0.570% per annum) times notional amount of Pemex Master Trust, 9.500%, 9/15/27. Upon a defined credit event the Fund receives the notional amount and delivers the deliverable obligation. (Counterparty: Goldman Sachs International) 06/20/17 4,800 41 --------- $ (1,554) =========
- -------------------------------------------------------------------------------- Description - -------------------------------------------------------------------------------- Percentages are based on Net Assets of $620,942 ($ Thousands). * Rate shown is the 7-day effective yield as of September 30, 2007. + Real Estate Investments Trust. ++ Investment in Affiliated Security (see Note 3). (A) Zero Coupon Bond -- The rate reported on the Schedule of Investments is the effective yield at time of purchase. (B) Securities sold within terms of a private placement memorandum, exempt from registration under Section 144A of the Securities Act of 1933, as amended, and may be sold only to dealers in that program or other "accredited investors." These securities have been determined to be liquid under guidelines established by the Board of Trustees. (C) Variable Rate Security -- The rate reported on the Schedule of Investments is the rate in effect as of September 30, 2007. The date reported on the Schedule of Investments is the next reset date. (D) Unfunded bank loan. Interest rate not available. (E) Unsettled bank loan. Interest rate not available. (F) Tri-Party Repurchase Agreement. AUD -- Australian Dollar CAD -- Canadian Dollar CDO -- Collateralized Debt Obligation CHF -- Swiss Franc CLO -- Collateralized Loan Obligation Cl -- Class CMBS -- Commercial Mortgage-Backed Securities CMO -- Collateralized Mortgage Obligation EUR -- Euro FHLB -- Federal Home Loan Bank FHLMC -- Federal Home Loan Mortgage Corporation FNMA -- Federal National Mortgage Association GBP -- British Pound Sterling IO -- Interest Only JPY -- Japanese Yen LIBOR -- London InterBank Offered Rate LLC -- Limited Liability Company LP -- Limited Partnership Ltd. -- Limited MTN -- Medium Term Note NZD -- New Zealand Dollar PLC -- Public Limited Company REIT -- Real Estate Investment Trust Ser -- Series STRIPS -- Separately Traded Registered Interest and Principal Securities TBA -- To Be Announced USD -- United States Dollar Amounts designated as "--" are $0 or have been rounded to $0. The accompanying notes are an integral part of the financial statements. - -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Annual Report / September 30, 2007 153 SCHEDULE OF INVESTMENTS Core Fixed Income Fund September 30, 2007 - -------------------------------------------------------------------------------- SECTOR WEIGHTINGS# (UNAUDITED): [THE FOLLOWING TABLE WAS REPRESENTED BY A BAR CHART IN THE PRINTED MATERIAL.] 34.9% U.S. Government Agency Mortgage-Backed Obligations 19.6% Asset-Backed Securities 18.1% Short-Term Investments 11.1% U.S. Treasury Obligations 8.2% Financials 1.7% Energy 1.2% Utilities 1.1% Industrials 1.1% Consumer Discretionary 0.9% Telecommunication Services 0.6% Health Care 0.5% Sovereign 0.4% Consumer Staples 0.2% Materials 0.2% Foreign Bonds 0.1% Information Technology 0.1% Certificates of Deposit 0.0% Purchased Swaptions #Percentages based on total investments. Includes investments held as collateral for securities on loan (see Note 7). - -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) - -------------------------------------------------------------------------------- U.S. GOVERNMENT AGENCY MORTGAGE-BACKED OBLIGATIONS -- 48.1% FHLB 5.400%, 01/02/09 (J) $ 3,480 $ 3,480 4.500%, 10/09/09 3,750 3,758 4.050%, 01/21/09 2,000 1,988 3.310%, 01/23/09 2,000 1,970 FHLB CMO, Ser 2014-17, Cl 1 5.340%, 03/20/14 7,375 7,374 FHLB CMO, Ser 2015-VN, Cl A 5.460%, 11/27/15 7,116 7,116 FHLB DN (E) (J) 4.617%, 10/17/07 2,355 2,350 FHLMC 7.500%, 11/01/29 to 09/01/32 2,472 2,580 7.000%, 01/01/08 to 01/01/32 3,998 4,120 6.875%, 09/15/10 5,560 5,926 6.500%, 12/01/13 to 09/01/37 29,737 30,280 6.000%, 02/01/18 to 07/01/37 16,501 16,669 5.625%, 11/23/35 (J) 4,830 4,742 5.500%, 12/01/13 to 09/01/37 72,369 71,310 5.000%, 10/01/18 to 08/01/37 82,100 79,152 4.625%, 05/28/13 (J) 3,750 3,686 4.500%, 05/01/18 to 11/01/35 10,071 9,673 4.000%, 07/01/18 to 10/01/33 26,859 25,212 FHLMC ARM 6.687%, 10/01/07 2,480 2,531 6.619%, 10/01/07 2,115 2,164 6.537%, 10/01/07 5,122 5,225 6.157%, 01/01/37 1,830 1,860 6.009%, 04/01/37 2,856 2,895 5.940%, 04/01/37 2,978 3,015 - -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) - -------------------------------------------------------------------------------- 5.918%, 04/01/37 $ 7,442 $ 7,514 5.904%, 04/01/37 4,394 4,434 5.895%, 01/01/37 2,983 2,990 5.876%, 04/01/36 1,794 1,812 5.775%, 07/01/37 3,036 3,079 5.767%, 05/01/37 1,586 1,598 5.703%, 05/01/37 3,024 3,052 5.541%, 06/01/37 2,632 2,652 5.126%, 01/01/36 6,929 6,825 FHLMC CMO STRIPS, Ser 232, Cl IO, IO 5.000%, 08/01/35 12,507 3,293 FHLMC CMO STRIPS, Ser 233, Cl 12, IO 5.000%, 09/15/35 3,432 783 FHLMC CMO STRIPS, Ser 233, Cl 6, IO 4.500%, 08/15/35 517 138 FHLMC CMO, Ser 1, Cl Z 9.300%, 04/15/19 199 211 FHLMC CMO, Ser 1611, Cl Z 6.500%, 11/15/23 14,097 14,419 FHLMC CMO, Ser 1983, Cl Z 6.500%, 12/15/23 2,152 2,212 FHLMC CMO, Ser 2043, Cl CJ 6.500%, 04/15/28 3,693 3,805 FHLMC CMO, Ser 2256, Cl PA 6.000%, 11/15/26 4,953 5,028 FHLMC CMO, Ser 2277, Cl B 7.500%, 01/15/31 739 740 FHLMC CMO, Ser 2389, Cl CD 6.000%, 03/15/16 3,700 3,744 FHLMC CMO, Ser 2399, Cl XG 6.500%, 01/15/32 7,407 7,652 FHLMC CMO, Ser 2542, Cl ES 5.000%, 12/15/17 2,316 2,269 FHLMC CMO, Ser 2544, Cl IW, IO 5.500%, 03/15/26 1,951 47 FHLMC CMO, Ser 2558, Cl BD 5.000%, 01/15/18 1,785 1,737 FHLMC CMO, Ser 2579, Cl PI, IO 5.500%, 03/15/27 68 -- FHLMC CMO, Ser 2583, Cl TD 4.500%, 12/15/13 1,643 1,612 FHLMC CMO, Ser 2590, Cl NU 5.000%, 06/15/17 1,305 1,295 FHLMC CMO, Ser 2603, Cl KT 4.750%, 07/15/14 787 761 FHLMC CMO, Ser 2614, Cl TD 3.500%, 05/15/16 2,426 2,366 FHLMC CMO, Ser 2623, Cl AJ (F) 4.500%, 10/01/07 1,309 1,281 FHLMC CMO, Ser 2631, Cl MT 3.500%, 01/15/22 427 425 FHLMC CMO, Ser 2645, Cl MK 3.500%, 07/15/22 712 709 - -------------------------------------------------------------------------------- 154 SEI Institutional Managed Trust / Annual Report / September 30, 2007 - -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) - -------------------------------------------------------------------------------- FHLMC CMO, Ser 2647, Cl PJ 3.250%, 06/15/26 $ 5,644 $ 5,523 FHLMC CMO, Ser 2672, Cl HA 4.000%, 09/15/16 746 730 FHLMC CMO, Ser 2694, Cl QG 4.500%, 01/15/29 1,761 1,719 FHLMC CMO, Ser 2733, Cl ME 5.000%, 01/15/34 5,995 5,513 FHLMC CMO, Ser 2780, Cl TB 3.000%, 12/15/24 1,721 1,693 FHLMC CMO, Ser 2809, Cl HX, IO 6.000%, 10/15/24 1,373 30 FHLMC CMO, Ser 2841, Cl BD (F) 4.000%, 10/01/07 1,206 1,179 FHLMC CMO, Ser 2890, Cl AP 3.750%, 12/15/11 2,032 2,004 FHLMC CMO, Ser 2899, Cl QY 4.000%, 10/15/25 652 645 FHLMC CMO, Ser 2945, Cl SA (F) 1.939%, 10/15/07 6,005 5,643 FHLMC CMO, Ser 2975, Cl EA (F) 5.000%, 10/01/07 1,053 1,050 FHLMC CMO, Ser 3017, Cl TA 4.500%, 08/15/35 2,084 2,028 FHLMC CMO, Ser 3020, Cl MA 5.500%, 04/15/27 2,396 2,408 FHLMC CMO, Ser 3035, Cl PA 5.500%, 09/15/35 1,174 1,182 FHLMC CMO, Ser 3062, Cl LC 5.500%, 11/15/28 1,258 1,259 FHLMC CMO, Ser 3075, Cl PA 5.500%, 07/15/25 899 903 FHLMC CMO, Ser 3078, Cl PA 5.500%, 07/15/24 1,189 1,194 FHLMC CMO, Ser 3104, Cl QC 5.000%, 09/15/31 1,199 1,171 FHLMC CMO, Ser 3114, Cl KC 5.000%, 02/15/30 1,778 1,733 FHLMC CMO, Ser 3135, Cl JA 6.000%, 09/15/27 3,316 3,347 FHLMC CMO, Ser 3138, Cl PA 5.500%, 02/15/27 2,448 2,462 FHLMC CMO, Ser 3151, Cl PA (F) 6.000%, 10/01/07 2,582 2,615 FHLMC CMO, Ser 3164, Cl NC 6.000%, 12/15/32 1,080 1,100 FHLMC CMO, Ser 3167, Cl QA 6.000%, 10/15/26 8,108 8,220 FHLMC CMO, Ser 3171, Cl NE (F) 6.000%, 10/01/07 1,270 1,287 FHLMC CMO, Ser 3177, Cl PA (F) 6.000%, 10/01/07 344 349 FHLMC CMO, Ser 3178, Cl MA 6.000%, 10/15/26 1,843 1,869 - -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) - -------------------------------------------------------------------------------- FHLMC CMO, Ser 3178, Cl PE 5.899%, 02/01/37 $ 17,196 $ 17,385 FHLMC CMO, Ser 3184, Cl LA 6.000%, 03/15/28 736 746 FHLMC CMO, Ser 3192, Cl GA 6.000%, 03/15/27 2,039 2,066 FHLMC CMO, Ser 3205, Cl PC 6.000%, 09/15/32 2,245 2,285 FHLMC CMO, Ser 3216, Cl NA 6.000%, 05/15/28 1,777 1,804 FHLMC CMO, Ser 3268, Cl HC 5.000%, 12/15/32 957 924 FHLMC CMO, Ser 3279, Cl PB 5.500%, 09/15/31 2,714 2,715 FHLMC CMO, Ser 3279, Cl PH 6.000%, 02/15/27 1,955 1,993 FHLMC CMO, Ser 3287, Cl GC 5.500%, 08/15/34 1,551 1,534 FHLMC CMO, Ser 3288, Cl PA 5.500%, 05/15/29 2,747 2,765 FHLMC CMO, Ser 3298, Cl VB 5.000%, 11/15/25 1,046 973 FHLMC CMO, Ser 3300, Cl PB 5.500%, 02/15/31 1,378 1,374 FHLMC CMO, Ser 3305, Cl PD 5.500%, 11/15/35 911 889 FHLMC CMO, Ser 3312, Cl AP 5.500%, 11/15/25 1,139 1,147 FHLMC CMO, Ser 3316, Cl EB 5.500%, 06/15/34 1,702 1,682 FHLMC CMO, Ser 3316, Cl GC 5.500%, 05/15/33 2,486 2,448 FHLMC CMO, Ser 3316, Cl HA 5.000%, 07/15/35 3,399 3,335 FHLMC CMO, Ser 3316, Cl PB 5.500%, 03/15/31 656 655 FHLMC CMO, Ser 3326, Cl PC 5.500%, 08/15/32 618 610 FHLMC CMO, Ser 3331, Cl BP 5.500%, 02/15/31 2,304 2,298 FHLMC CMO, Ser 3347, Cl PA 5.000%, 06/15/28 6,716 6,026 FHLMC CMO, Ser 3347, Cl PB 5.000%, 11/15/30 4,443 4,351 FHLMC CMO, Ser 3347, Cl PC 5.000%, 07/15/33 2,051 1,978 FHLMC CMO, Ser 3347, Cl PD 5.000%, 09/15/35 1,924 1,806 FHLMC CMO, Ser 3348, Cl QA 6.000%, 06/15/28 2,716 2,760 FHLMC CMO, Ser 3349, Cl BP 6.000%, 03/15/32 2,686 2,735 FHLMC CMO, Ser 3351, Cl PK 5.500%, 01/15/32 6,999 7,016 - -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Annual Report / September 30, 2007 155 SCHEDULE OF INVESTMENTS Core Fixed Income Fund (Continued) September 30, 2007 - -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) - -------------------------------------------------------------------------------- FHLMC CMO, Ser 3790. Cl TN 4.000%, 05/15/24 $ 1,398 $ 1,247 FHLMC CMO, Ser 3804, Cl EB 5.500%, 07/15/30 2,695 2,711 FHLMC DN (E) 5.252%, 11/09/07 (B) 170 169 5.178%, 10/29/07 (B) 55 55 4.947%, 10/15/07 (B) 830 829 4.917%, 10/02/07 2,629 2,629 4.746%, 10/26/07 (B) 370 369 FHLMC TBA 6.000%, 10/01/19 to 10/01/21 9,016 9,128 5.500%, 10/15/37 to 11/01/37 55,800 54,617 5.000%, 10/15/33 2,400 2,289 FHLMC, Ser RB (B) 5.135%, 10/09/07 5 5 FICO STRIPS, Ser D-P (E) 5.308%, 09/26/19 4,904 2,661 FNMA 8.000%, 10/01/15 26 28 7.250%, 01/15/10 (J) 5,800 6,154 7.000%, 09/01/26 to 04/01/32 4,247 4,420 6.500%, 05/01/17 to 08/01/37 15,295 15,591 6.250%, 02/01/11 (J) 8,000 8,402 6.000%, 05/01/21 to 08/01/37 95,512 95,784 5.500%, 06/01/14 to 02/01/35 164,670 163,304 5.000%, 01/01/20 to 09/01/36 100,683 97,821 4.717%, 03/12/08 (B) 300 294 4.500%, 09/01/18 to 08/01/35 30,499 29,055 4.495%, 04/01/09 1,411 1,402 4.375%, 09/13/10 (J) 6,150 6,139 4.000%, 07/01/18 to 03/01/36 31,853 29,412 FNMA DN (B) (E) 5.348%, 11/02/07 975 971 5.088%, 03/17/08 6,100 5,975 FNMA ARM 7.034%, 10/01/07 (F) 2,203 2,266 7.022%, 11/01/35 2,275 2,353 7.021%, 10/01/07 (F) 2,190 2,252 7.004%, 10/01/07 (F) 2,254 2,331 7.002%, 10/01/07 (F) 2,271 2,349 6.920%, 10/01/35 10,531 10,828 6.905%, 10/01/35 6,852 7,087 6.901%, 11/01/35 4,634 4,793 6.444%, 07/01/36 1,670 1,726 6.198%, 03/01/37 743 755 5.952%, 01/01/37 1,990 2,026 5.900%, 09/01/37 2,525 2,564 5.858%, 02/01/37 9,112 9,242 5.842%, 06/01/37 1,887 1,913 5.818%, 05/01/37 1,253 1,269 5.746%, 04/01/36 1,210 1,215 5.653%, 10/01/07 15,718 15,776 5.635%, 02/01/36 721 726 5.614%, 05/01/37 1,471 1,471 5.193%, 11/01/36 676 669 - -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) - -------------------------------------------------------------------------------- 5.082%, 10/01/36 $ 1,856 $ 1,842 5.016%, 07/01/35 1,414 1,405 4.871%, 09/01/35 798 789 FNMA CMO STRIPS, Ser 359, Cl 6, IO 5.000%, 11/01/35 1,339 344 FNMA CMO STRIPS, Ser 360, Cl 2, IO 5.000%, 08/01/35 32,623 8,590 FNMA CMO STRIPS, Ser 365, Cl 2, IO 5.000%, 02/01/36 1,278 336 FNMA CMO STRIPS, Ser 365, Cl 4, IO 5.000%, 04/01/36 1,373 373 FNMA CMO, Ser 1999-11, Cl Z 5.500%, 03/25/29 7,003 6,930 FNMA CMO, Ser 2001-T11, Cl B (F) 5.503%, 10/01/07 620 631 FNMA CMO, Ser 2001-T2, Cl B 6.022%, 11/25/10 4,500 4,629 FNMA CMO, Ser 2002-94, Cl BJ, IO 5.500%, 04/25/16 534 21 FNMA CMO, Ser 2002-T11, Cl A 4.768%, 04/25/12 197 196 FNMA CMO, Ser 2003-108, Cl BE 4.000%, 11/25/18 706 652 FNMA CMO, Ser 2003-113, Cl PN 3.500%, 02/25/13 910 902 FNMA CMO, Ser 2003-123, Cl AB 4.000%, 10/25/16 2,152 2,106 FNMA CMO, Ser 2003-15, Cl CH (F) 4.000%, 10/01/07 818 802 FNMA CMO, Ser 2003-16, Cl PN (F) 4.500%, 10/01/07 1,137 1,126 FNMA CMO, Ser 2003-24, Cl LC 5.000%, 12/25/15 560 559 FNMA CMO, Ser 2003-30, Cl ET 3.500%, 08/25/16 2,178 2,127 FNMA CMO, Ser 2003-33, Cl CH (F) 4.000%, 10/01/07 1,670 1,630 FNMA CMO, Ser 2003-86, Cl OX 4.500%, 09/25/26 4,719 4,669 FNMA CMO, Ser 2003-92, Cl PC 4.500%, 05/25/15 1,909 1,888 FNMA CMO, Ser 2003-T1, Cl A 3.807%, 11/25/12 610 595 FNMA CMO, Ser 2004-34, Cl PL 3.500%, 05/25/14 924 914 FNMA CMO, Ser 2005-20, Cl QD 5.000%, 03/25/28 2,800 2,789 FNMA CMO, Ser 2005-29, Cl AD 4.500%, 08/25/34 1,861 1,838 FNMA CMO, Ser 2005-38, Cl CD 5.000%, 06/25/19 1,409 1,400 - -------------------------------------------------------------------------------- 156 SEI Institutional Managed Trust / Annual Report / September 30, 2007 - -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) - -------------------------------------------------------------------------------- FNMA CMO, Ser 2005-57, Cl EG (F) 5.431%, 10/25/07 $ 3,538 $ 3,514 FNMA CMO, Ser 2005-58, Cl MA 5.500%, 07/25/35 902 907 FNMA CMO, Ser 2005-92, Cl NM 3.500%, 04/25/13 1,032 1,024 FNMA CMO, Ser 2006-10, Cl FD (F) 5.855%, 10/25/07 5,308 5,300 FNMA CMO, Ser 2006-112, Cl QA (F) 5.500%, 10/01/07 1,827 1,835 FNMA CMO, Ser 2006-18, Cl PA 5.500%, 01/25/26 1,687 1,693 FNMA CMO, Ser 2006-31, Cl PA 5.500%, 11/25/26 1,851 1,859 FNMA CMO, Ser 2006-34, Cl PA 6.000%, 05/25/27 3,619 3,654 FNMA CMO, Ser 2006-41, Cl MA 5.500%, 04/25/24 678 680 FNMA CMO, Ser 2006-53, Cl PA 5.500%, 12/25/26 563 565 FNMA CMO, Ser 2006-55, Cl PA 6.000%, 05/25/26 1,878 1,898 FNMA CMO, Ser 2006-64, Cl PA (F) 5.500%, 10/01/07 1,166 1,172 FNMA CMO, Ser 2006-80, Cl PB (F) 6.000%, 10/01/07 3,705 3,753 FNMA CMO, Ser 2007-27, Cl KA 5.750%, 09/25/33 878 886 FNMA CMO, Ser 2007-30, Cl MA 4.250%, 02/25/37 3,822 3,720 FNMA CMO, Ser 2007-39, Cl NA 4.250%, 01/25/37 3,404 3,314 FNMA CMO, Ser 2007-62, Cl PA 6.000%, 03/25/29 1,209 1,226 FNMA CMO, Ser 2007-76, Cl PA 6.000%, 05/25/28 5,450 5,526 FNMA CMO, Ser 2007-80, Cl TA 6.000%, 09/25/26 2,229 2,258 FNMA CMO, Ser 2007-81, Cl BE 6.000%, 12/25/31 2,150 2,182 FNMA CMO, Ser 2007-81, Cl AE 6.000%, 08/25/28 1,309 1,329 FNMA CMO, Ser 2007-B1, Cl VA 5.500%, 04/25/17 2,241 2,249 FNMA CMO, Ser 2632, Cl NE 4.000%, 06/15/13 4,595 4,480 FNMA CMO, Ser 3173, Cl PH 6.000%, 09/15/27 2,352 2,385 FNMA CMO, Ser 3351, Cl PJ 5.500%, 06/15/22 4,066 4,098 FNMA CMO, Ser 34, Cl QJ 4.500%, 01/25/16 2,718 2,687 FNMA TBA 6.500%, 10/01/37 to 11/15/37 113,910 115,937 - -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) - -------------------------------------------------------------------------------- 6.000%, 10/01/37 to 11/01/37 $ 129,900 $ 129,990 5.500%, 02/01/21 to 11/01/37 288,495 282,598 5.000%, 10/01/37 to 11/01/37 229,700 219,046 4.500%, 10/14/34 3,500 3,246 GNMA 8.000%, 11/15/29 to 11/15/30 175 186 7.500%, 03/15/29 to 01/15/32 511 538 7.000%, 08/15/13 to 09/20/37 12,026 12,579 6.500%, 04/15/24 to 09/01/37 61,307 62,586 6.000%, 03/15/14 to 11/15/35 61,450 61,932 5.500%, 10/20/34 3,854 3,791 5.000%, 05/15/33 to 10/15/35 6,385 6,183 4.500%, 01/01/20 2,855 2,755 GNMA ARM 6.500%, 02/20/34 1,670 1,687 6.000%, 06/20/35 976 977 5.500%, 08/20/34 to 01/20/36 1,461 1,469 5.000%, 02/20/36 1,463 1,463 4.750%, 12/20/33 to 05/20/34 20,692 20,650 4.500%, 05/20/36 9,086 9,146 4.000%, 02/20/34 to 03/20/36 2,591 2,589 GNMA CMO, Ser 2001-18, Cl WH (F) 6.825%, 10/20/07 368 402 GNMA CMO, Ser 2002-51, Cl SG (F) 8.682%, 10/20/07 329 363 GNMA CMO, Ser 2003-58, Cl LG, IO 5.500%, 05/17/29 4,036 182 GNMA CMO, Ser 2003-86, Cl LC, IO 5.500%, 10/20/27 1,417 18 GNMA CMO, Ser 2003-86, Cl ZK 5.000%, 10/20/33 9,119 8,060 GNMA CMO, Ser 2004-80, Cl IP, IO 5.500%, 07/20/34 6,118 428 GNMA CMO, Ser 2004-88, Cl MA 3.650%, 01/20/28 1,620 1,598 GNMA CMO, Ser 2006-17, Cl KY 5.000%, 04/20/36 4,417 4,399 GNMA CMO, Ser 2006-3, Cl A 4.212%, 01/16/28 586 576 GNMA CMO, Ser 2006-33, Cl NA 5.000%, 01/20/36 1,863 1,758 GNMA CMO, Ser 2006-37, Cl JG 5.000%, 07/20/36 879 826 GNMA CMO, Ser 2006-8, Cl A 3.942%, 08/16/25 820 805 GNMA CMO, Ser 2007-7, Cl PG 5.000%, 02/16/37 2,411 2,257 GNMA TBA 6.500%, 10/01/34 2,700 2,759 6.000%, 10/01/36 5,900 5,937 -------------- Total U.S. Government Agency Mortgage-Backed Obligations (Cost $2,218,629) ($ Thousands) 2,221,780 -------------- - -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Annual Report / September 30, 2007 157 SCHEDULE OF INVESTMENTS Core Fixed Income Fund (Continued) September 30, 2007 - -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) - -------------------------------------------------------------------------------- ASSET-BACKED SECURITIES --26.9% AUTOMOTIVE -- 0.4% AmeriCredit Prime Automobile Receivables Trust, Ser 2007-1, Cl A3 5.270%, 11/08/11 $ 1,863 $ 1,868 Capital Auto Receivables Asset Trust, Ser 2006-1, Cl A3 5.030%, 10/15/09 1,553 1,550 Capital Auto Receivables Asset Trust, Ser 2006-2, Cl B 5.070%, 12/15/11 2,620 2,569 Capital Auto Receivables Asset Trust, Ser 2007-1, Cl A3A 5.000%, 04/15/11 1,054 1,052 DaimlerChrysler Auto Trust, Ser 2006-D, Cl A4 4.940%, 02/08/12 1,190 1,184 Ford Credit Auto Owner Trust, Ser 2005-A, Cl A3 3.480%, 11/15/08 110 110 Ford Credit Auto Owner Trust, Ser 2005-B, Cl A3 4.170%, 01/15/09 179 179 Harley-Davidson Motorcycle Trust, Ser 2007-1, Cl A2 5.290%, 10/15/07 866 866 Hyundai Auto Receivables Trust, Ser 2007-A, Cl A3A 5.040%, 01/17/12 776 776 Hyundai Auto Receivables Trust, Ser 2007-A, Cl A4 5.210%, 03/17/14 1,408 1,408 Nissan Auto Receivables Owner Trust, Ser 2006-B, Cl A3 5.160%, 02/15/10 705 704 Triad Auto Receivables Owner Trust, Ser 2003-B, Cl A4 3.200%, 12/13/10 256 253 Triad Auto Receivables Owner Trust, Ser 2006-B, Cl A4 (F) 5.520%, 10/12/07 563 567 Triad Auto Receivables Owner Trust, Ser 2006-C, Cl A3 5.260%, 11/14/11 1,039 1,040 USAA Auto Owner Trust, Ser 2004-3, Cl A4 3.530%, 06/15/11 912 903 USAA Auto Owner Trust, Ser 2005-1, Cl A3 3.900%, 07/15/09 94 93 WFS Financial Owner Trust, Ser 2003-4, Cl A4 3.150%, 05/20/11 153 153 - -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) - -------------------------------------------------------------------------------- WFS Financial Owner Trust, Ser 2004-1, Cl A4 2.810%, 08/22/11 $ 289 $ 287 WFS Financial Owner Trust, Ser 2005-3, Cl A3A 4.250%, 06/17/10 181 181 World Omni Auto Receivables Trust, 2007-B, Cl A3A 5.280%, 01/17/12 652 656 World Omni Auto Receivables Trust, 2007-B, Cl A4 5.390%, 05/15/13 1,406 1,416 -------------- 17,815 -------------- CREDIT CARDS -- 0.3% Bank of America Credit Card Trust, Ser 2007-A8, Cl A8 5.590%, 11/17/14 502 511 Chase Issuance Trust, Ser 2004-A9, Cl A9 3.220%, 06/15/10 1,884 1,882 Citibank Credit Card Issuance Trust, Ser 2007-A8, Cl A8 5.650%, 09/20/19 2,419 2,400 Discover Card Master Trust I, Ser 2003-1, Cl A3 (F) 5.893%, 10/15/07 505 505 Discover Card Master Trust, Ser 2007-A1, Cl A1 5.650%, 03/16/20 6,906 6,894 MBNA Credit Card Master Note Trust, Ser 2003-A7, Cl A7 2.650%, 11/15/10 1,361 1,339 -------------- 13,531 -------------- MORTGAGE RELATED SECURITIES -- 23.3% ABS Home Equity Loan Trust, Ser 2001-HE3, Cl A1 (F) 6.293%, 10/15/07 533 525 ABFS Mortgage Loan Trust, Ser 2002-1, Cl A5 6.510%, 12/15/32 44 45 AFC Home Equity Loan Trust, Ser 1998-1, Cl 1A2 (F) 5.590%, 10/01/07 109 107 AFC Home Equity Loan Trust, Ser 2000-1, Cl 2A (F) 5.371%, 10/25/07 5,140 4,986 Aames Mortgage Investment Trust, Ser 2005-4, Cl B2 (F) 7.881%, 10/12/07 780 497 - -------------------------------------------------------------------------------- 158 SEI Institutional Managed Trust / Annual Report / September 30, 2007 - -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) - -------------------------------------------------------------------------------- Ace Securities, Ser 2003-OP1, Cl M1 (F) 6.020%, 10/26/07 $ 1,000 $ 977 Ace Securities, Ser 2005-HE7, Cl A1B2 (F) 5.620%, 10/27/07 1,263 1,228 Adjustable Rate Mortgage NIM Trust, Ser 2005-4, Cl A 5.500%, 12/27/35 207 72 Adjustable Rate Mortgage Trust, Ser 2005-8, Cl 4A11 (F) 5.436%, 10/01/07 11,493 11,328 Aegis Asset-Backed Securities Trust, Ser 2003-3, Cl M1 (F) 6.020%, 10/25/07 151 136 American Home Mortgage Investment Trust, Ser 2004-1, Cl 4A (F) 3.280%, 10/25/07 535 521 American Home Mortgage Investment Trust, Ser 2004-4, Cl 4A (F) 4.390%, 10/01/07 2,386 2,357 American Home Mortgage Investment Trust, Ser 2005-1, Cl 6A (F) 5.294%, 10/25/07 6,920 6,853 American Home Mortgage Investment Trust, Ser 2005-4, Cl 5A (F) 5.350%, 10/25/07 6,125 6,055 American Tower Trust, Ser 2007-1A, Cl AFX 5.420%, 04/15/37 1,749 1,719 Ameriquest Mortgage Securities, Ser 2003-2, Cl M1 (F) 6.670%, 10/25/07 1,424 1,315 Argent Securities, Ser 2003-W5, Cl M1 (F) 6.020%, 10/25/07 600 581 Argent Securities, Ser 2003-W9, Cl M1 (F) 6.010%, 10/26/07 1,287 1,251 Asset-Backed Funding Certificates, Ser 2003-WF1, Cl A2 (F) 6.070%, 10/25/07 2,506 2,482 Asset-Backed Funding Certificates, Ser 2005-AQ1, Cl A2 (G) 4.300%, 06/25/35 1,795 1,765 Asset-Backed Securities Home Equity Loan Trust, Ser 2003-HE4, Cl M2 (F) 7.753%, 10/15/07 544 508 Asset-Backed Securities Home Equity Loan Trust, Ser 2003-HE5, Cl M1 (F) 6.361%, 10/15/07 1,733 1,670 BNC Mortgage Loan Trust, Ser 2007-1, Cl M1 (F) 5.560%, 10/25/07 6,300 5,401 - -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) - -------------------------------------------------------------------------------- Banc of America Commercial Mortgage Securities, Ser 2002-PB2, Cl B 6.309%, 06/11/35 $ 659 $ 688 Banc of America Commercial Mortgage Securities, Ser 2003-1, Cl A2 (F) 4.648%, 10/01/07 723 703 Banc of America Commercial Mortgage Securities, Ser 2004-1, Cl A4 4.760%, 11/10/39 794 766 Banc of America Commercial Mortgage Securities, Ser 2004-2, Cl A5 4.580%, 10/01/07 294 281 Banc of America Commercial Mortgage Securities, Ser 2005-3, Cl A4 4.668%, 07/10/43 11,300 10,728 Banc of America Commercial Mortgage Securities, Ser 2005-4, Cl A5A 4.933%, 10/01/07 290 280 Banc of America Commercial Mortgage Securities, Ser 2005-5, Cl A4 5.115%, 10/10/45 309 302 Banc of America Commercial Mortgage Securities, Ser 2005-6, Cl A4 5.353%, 10/01/07 2,079 2,055 Banc of America Commercial Mortgage Securities, Ser 2006-2, Cl A1 (F) 5.611%, 05/10/45 2,513 2,537 Banc of America Commercial Mortgage Securities, Ser 2006-4, Cl AM 5.675%, 07/10/46 8,370 8,317 Banc of America Commerical Mortgage Securities, Ser 2007-3, Cl A4 5.838%, 06/10/49 12,260 12,322 Banc of America Funding, Ser 2003-1, Cl A1 6.000%, 05/20/33 108 106 Banc of America Funding, Ser 2005-B, Cl 2A1 (F) 5.099%, 10/01/07 5,927 5,909 Banc of America Mortgage Securities, Ser 2003-1, Cl 2A4 5.000%, 02/25/18 5,483 5,347 Bear Stearns Adjustable Rate Mortgage Trust, Ser 2004-2, Cl 24A 5.327%, 10/01/07 5,655 5,436 Bear Stearns Asset-Backed Securities, Ser 2000-2, Cl M2 (G) 8.280%, 08/25/30 8,000 7,667 Bear Stearns Asset-Backed Securities, Ser 2003-1, Cl A1 (F) 5.820%, 10/25/07 4,926 4,797 Bear Stearns Asset-Backed Securities, Ser 2006-HE1, Cl 2A1 (F) 5.410%, 10/27/07 2,289 2,280 - -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Annual Report / September 30, 2007 159 SCHEDULE OF INVESTMENTS Core Fixed Income Fund (Continued) September 30, 2007 - -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) - -------------------------------------------------------------------------------- Bear Stearns Asset-Backed Securities, Ser 2007-AQ2, Cl A1 (F) 5.420%, 10/31/07 $ 7,015 $ 6,971 Bear Stearns Asset-Backed Securities, Ser 2007-HE2, Cl 1A1 (F) 5.420%, 10/31/07 13,064 12,998 Bear Stearns Commercial Mortgage Securities, Ser 2004-ESA, Cl C 4.937%, 05/14/16 2,426 2,436 Bear Stearns Commercial Mortgage Securities, Ser 2004-PWR6, Cl A6 4.825%, 11/11/41 333 321 Bear Stearns Commercial Mortgage Securities, Ser 2005-T18, Cl A4 (F) 4.933%, 10/01/07 1,318 1,272 Bear Stearns Commercial Mortgage Securities, Ser 2007-PW15, Cl A3 5.309%, 02/11/44 1,325 1,305 Chase Commercial Mortgage Securities, Ser 2000-3, Cl A2 7.319%, 10/15/32 2,575 2,709 Chase Funding Mortgage Loan, Ser 2002-1, Cl 2A2 (F) 5.631%, 10/25/07 1,862 1,841 Chase Funding Mortgage Loan, Ser 2003-6, Cl 1A3 3.340%, 05/25/26 1,097 1,082 Chase Mortgage Finance, Ser 2005-A1, Cl 2A3 (F) 5.239%, 10/01/07 12,400 12,351 Citicorp Residential Mortgage Securities, Ser 2006-1, Cl A2 (G) 5.682%, 07/25/36 1,236 1,227 Citicorp Residential Mortgage Securities, Ser 2006-2, Cl A2 (G) 5.557%, 10/01/07 1,163 1,153 Citigroup Commercial Mortgage Trust, Ser 2004-CA, Cl C (F) 5.529%, 10/01/07 774 755 Citigroup Mortgage Loan Trust, Ser 2005-11, Cl A3 4.900%, 10/01/07 10,720 10,431 Citigroup Mortgage Loan Trust, Ser 2006-FX1, Cl A1 (F) 5.420%, 10/31/07 1,680 1,677 Citigroup Mortgage Loan Trust, Ser 2007-AHL1, Cl A2A (F) 5.171%, 10/25/07 1,501 1,489 Commercial Mortgage Asset Trust, Ser 1999-C2, Cl A2 7.546%, 11/17/32 5,541 5,720 Commercial Mortgage Pass-Through Certificate, Ser 1999-1, Cl E (F) 7.223%, 10/01/07 2,734 2,764 - -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) - -------------------------------------------------------------------------------- Commercial Mortgage Pass-Through Certificate, Ser 2000-C1, Cl C 7.706%, 08/15/33 $ 391 $ 417 Commercial Mortgage Pass-Through Certificate, Ser 2004-LB3A, Cl B (F) 5.443%, 10/01/07 1,172 1,138 Commercial Mortgage Pass-Through Certificate, Ser 2005-C6, Cl A3 (F) 5.144%, 10/10/07 12,000 11,916 Conseco Finance Home Loan Trust, Ser 2000-E, Cl M1 8.130%, 08/15/31 2,077 1,989 Conseco Finance Securitization, Ser 2000-4, Cl A6 8.310%, 05/01/32 1,487 1,260 Conseco Finance, Ser 2001-D, Cl A5 (G) 6.190%, 11/15/32 2,346 2,347 Contimortgage Home Equity Loan Trust, Ser 1997-1, Cl A9 7.050%, 03/15/28 66 66 Contimortgage Home Equity Loan Trust, Ser 1997-2, Cl A9 7.090%, 04/15/28 90 90 Countrywide Alternative Loan Trust, Ser 2003-20CB, Cl 1A1 5.500%, 10/25/33 1,782 1,736 Countrywide Alternative Loan Trust, Ser 2004-J1, Cl 1A1 6.000%, 02/25/34 1,033 1,022 Countrywide Alternative Loan Trust, Ser 2005-27, Cl 3A2 (F) 6.105%, 10/01/07 779 757 Countrywide Alternative Loan Trust, Ser 2005-56, Cl 4A1 (F) 5.441%, 10/25/07 9,102 8,810 Countrywide Alternative Loan Trust, Ser 2005-59, Cl 1A1 (F) 5.868%, 10/20/07 11,119 10,882 Countrywide Alternative Loan Trust, Ser 2005-59, Cl 2X, IO (E) (H) 1.598%, 10/01/07 22,479 769 Countrywide Alternative Loan Trust, Ser 2006-OA2, Cl X1P, IO (H) 2.686%, 05/20/46 36,366 1,598 Countrywide Alternative Loan Trust, Ser 2006-OC6, Cl 2A1 (F) 5.201%, 10/25/07 2,129 2,125 Countrywide Asset-Backed Certificates, Ser 2003-BC2, Cl 2A1 (F) 5.731%, 10/25/07 38 36 Countrywide Asset-Backed Certificates, Ser 2004-14, Cl A4 (F) 5.785%, 10/25/07 1,296 1,206 - -------------------------------------------------------------------------------- 160 SEI Institutional Managed Trust / Annual Report / September 30, 2007 - -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) - -------------------------------------------------------------------------------- Countrywide Asset-Backed Certificates, Ser 2005-15, Cl 1AF1 (F) 5.460%, 10/25/07 $ 3,974 $ 3,969 Countrywide Asset-Backed Certificates, Ser 2006-IM1, Cl A1 (F) 5.410%, 10/27/07 217 217 Countrywide Asset-Backed Certificates, Ser 2006-S1, Cl A2 5.549%, 08/25/21 2,572 2,552 Countrywide Asset-Backed Certificates, Ser 2007-3, Cl 2A1 (F) 5.231%, 10/25/07 660 655 Countrywide Asset-Backed Certificates, Ser 2007-S2, Cl A2 5.649%, 05/25/37 3,354 3,323 Countrywide Asset-Backet Certificates, Ser 2006-10, Cl MV1 5.580%, 10/25/07 10,450 9,392 Countrywide Home Equity Loan Trust, Ser 2004-K, Cl A2 (F) 6.053%, 10/15/07 1,667 1,650 Countrywide Home Equity Loan Trust, Ser 2005-F, Cl 2A (F) 5.851%, 10/15/07 6,275 6,208 Countrywide Home Equity Loan Trust, Ser 2005-H, Cl 2A (F) 5.993%, 10/15/07 5,276 5,203 Countrywide Home Equity Loan Trust, Ser 2005-M, Cl A2 (F) 5.873%, 10/15/07 4,138 4,138 Countrywide Home Equity Loan Trust, Ser 2007-GW, Cl A 5.900%, 10/17/07 18,286 18,177 Countrywide Home Loans, Ser 2005-HY10, Cl 1A1 (F) 5.297%, 10/01/07 2,435 2,478 Countrywide Home Loans, Ser 2005-HYB9, Cl 1A1 (F) 5.150%, 10/01/07 1,403 1,408 Countrywide Home Loans, Ser 2005-HYB9, Cl 1A2 (F) 5.150%, 10/01/07 305 301 Countrywide Home Loans, Ser 2005-R3, Cl AF (F) 5.531%, 10/25/07 6,998 6,836 Countrywide Home Loans, Ser 2006-HYB1, Cl 1A1 (F) 5.358%, 10/20/07 3,338 3,324 Credit Suisse First Boston Mortgage Securities, Ser 1998-C2, Cl A2 6.300%, 11/15/30 10,246 10,333 Credit Suisse First Boston Mortgage Securities, Ser 2001-MH29, Cl A (G) 5.600%, 09/25/31 1,218 1,214 - -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) - -------------------------------------------------------------------------------- Credit Suisse First Boston Mortgage Securities, Ser 2002-CKS4, Cl A2 5.183%, 11/15/36 $ 17,371 $ 17,328 Credit Suisse First Boston Mortgage Securities, Ser 2003-AR24, Cl 2A4 (F) 4.021%, 10/01/07 10,596 10,471 Credit Suisse First Boston Mortgage Securities, Ser 2003-C4, Cl A4 5.137%, 08/15/36 1,339 1,326 Credit Suisse First Boston Mortgage Securities, Ser 2004-C5, Cl A4 (F) 4.829%, 10/15/07 1,815 1,745 Credit Suisse First Boston Mortgage Securities, Ser 2005-C1, Cl AAB (F) 4.815%, 10/01/07 589 580 Credit Suisse First Boston Mortgage Securities, Ser 2005-C2, Cl A4 4.832%, 04/15/37 588 564 Criimi Mae Commercial Mortgage, Ser 1998-C1, Cl A2 7.000%, 06/02/33 3,326 3,302 DLJ Commercial Mortgage, Ser 1999-CG1, Cl A1B 6.460%, 03/10/32 4,727 4,794 DSLA Mortgage Loan Trust, Ser 2004-AR2, Cl A2B (F) 5.903%, 10/19/07 4,850 4,754 DSLA Mortgage Loan Trust, Ser 2004-AR3, Cl B2 (F) 6.420%, 10/20/07 722 599 Duke Funding, Ser 2004-6B, Cl A1S1 (C) (F) (K) 5.430%, 10/09/07 8,578 8,578 EMC Mortgage Loan Trust, Ser 2002-AA, Cl A1 (F) 5.601%, 10/25/07 2,011 1,983 Equivantage Home Equity Loan Trust, Ser 1997-2, Cl A3 (G) 7.775%, 10/01/07 199 198 FFCA Secured Lending, Ser 1999-1A, IO (F) 1.427%, 10/01/07 9,306 387 First Franklin Mortgage Loan Asset- Backed Securities, Ser 2004-FF10, Cl A2 (F) 5.905%, 10/26/07 152 151 First Franklin Mortgage Loan Asset- Backed Securities, Ser 2004-FF11, Cl 1A2 (F) 5.670%, 10/25/07 233 230 First Franklin Mortgage Loan Asset- Backed Securities, Ser 2005-FF10, Cl A4 (F) 5.640%, 10/25/07 8,400 7,899 - -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Annual Report / September 30, 2007 161 SCHEDULE OF INVESTMENTS Core Fixed Income Fund (Continued) September 30, 2007 - -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) - -------------------------------------------------------------------------------- First Franklin Mortgage Loan Asset- Backed Securities, Ser 2005-FF9, Cl A3 (F) 5.600%, 10/25/07 $ 9,500 $ 9,226 First Franklin Mortgage Loan Asset- Backed Securities, Ser 2005-FFH4, Cl N1 5.682%, 12/25/35 30 23 First Franklin Mortgage Loan, Ser 2006-FFA, Cl A3 (F) 5.251%, 10/25/07 7,001 6,170 First Horizon ABS Trust, Ser 2004-HE2, Cl A (F) 5.351%, 10/25/07 2,362 2,336 First Union National Bank, Ser 2001-C4, Cl B 6.417%, 12/12/33 809 847 First Union-Lehman Brothers Commercial Mortgage, Ser 1998-C2, Cl A2 6.560%, 11/18/35 2,441 2,446 Fleet Home Equity Trust, Ser 2001-1, Cl A (F) 5.748%, 10/01/07 133 130 Fund America Investors, Ser 1993-A, Cl A2 (F) 6.509%, 10/01/07 332 331 GE Capital Commercial Mortgage, Ser 2001-2, Cl A3 6.030%, 08/11/33 729 739 GE Capital Commercial Mortgage, Ser 2002-1A, Cl A3 6.269%, 12/10/35 5,610 5,846 GE Capital Commercial Mortgage, Ser 2002-3A, Cl A2 4.996%, 12/10/37 12,500 12,407 GE Capital Commercial Mortgage, Ser 2004-C3, Cl A4 (F) 5.189%, 10/01/07 2,067 2,034 GE Capital Commercial Mortgage, Ser 2005-C3, Cl A7A 4.974%, 10/01/07 2,767 2,679 GE Capital Commercial Mortgage, Ser 2005-C4, Cl A3A (F) 5.512%, 10/01/07 13,025 13,070 GE Capital Commercial Mortgage, Ser 2006-C1, Cl A3 (F) 5.519%, 10/01/07 2,845 2,835 GE Capital Commercial Mortgage, Ser 2007-C1, Cl A4 (F) 5.543%, 10/01/07 1,510 1,500 GMAC Commercial Mortgage Securities, Ser 1998-C1, Cl A2 6.700%, 05/15/30 4,608 4,616 - -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) - -------------------------------------------------------------------------------- GMAC Commercial Mortgage Securities, Ser 1999-C2, Cl A2 6.945%, 09/15/33 $ 234 $ 240 GMAC Commercial Mortgage Securities, Ser 2004-C1, Cl A1 3.118%, 03/10/38 432 426 GMAC Commercial Mortgage Securities, Ser 2004-C2, Cl A1 3.896%, 08/10/38 148 146 GMAC Commercial Mortgage Securities, Ser 2006-C1, Cl A4 (F) 5.238%, 10/01/07 4,800 4,717 GMAC Mortgage Loan Trust, Ser 2004-HE4, Cl A1VN (F) 5.785%, 10/25/07 436 436 GMAC Mortgage Loan Trust, Ser 2005-HE3, Cl A1VN (F) 5.765%, 10/25/07 10,419 10,211 GMAC Mortgage Loan Trust, Ser 2007-HE1, Cl A2 5.621%, 08/25/37 4,497 4,453 GS Mortgage Securities, Ser 1998-C1, Cl B 6.970%, 10/18/30 1,189 1,204 GS Mortgage Securities, Ser 1998-GLII, Cl A2 6.562%, 04/13/31 1,617 1,620 GS Mortgage Securities, Ser 2004-GG2, Cl A6 5.396%, 08/10/38 544 541 GS Mortgage Securities, Ser 2005-GG4, Cl A4A 4.751%, 07/10/39 6,500 6,203 GS Mortgage Securities, Ser 2005-GG4, Cl AABA 4.680%, 07/10/39 350 340 GS Mortgage Securities, Ser 2006-GG6, Cl AM (F) 5.622%, 04/10/38 4,300 4,265 GS Mortgage Securities, Ser 2007-GG10, Cl A4 5.993%, 08/10/45 11,575 11,772 GSAA Home Equity Trust, Ser 2006-2, Cl 2A1 (F) 5.605%, 10/27/07 6,596 6,579 GSMPS Mortgage Loan Trust, Ser 1998-1, Cl A 8.000%, 09/19/27 90 96 GSR Mortgage Loan Trust, Ser 2003-13, Cl 1A1 (F) 4.498%, 10/01/07 7,351 7,176 General Electric Capital Assurance, Ser 2003-1, Cl A4 5.254%, 05/12/35 7,530 7,499 - -------------------------------------------------------------------------------- 162 SEI Institutional Managed Trust / Annual Report / September 30, 2007 - -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) - -------------------------------------------------------------------------------- Greenwich Capital Commercial Funding, Ser 2005-GG3, Cl AAB 4.619%, 08/10/42 $ 6,305 $ 6,139 HSI Asset Securitization Trust, Ser 2005-I1, Cl 2A3 (F) 5.615%, 10/27/07 8,000 7,515 HSI Asset Securitization Trust, Ser 2005-NC1, Cl 2A4 (F) 5.640%, 10/25/07 903 886 Harborview Mortgage Loan Trust, Ser 2005-01, Cl X, IO (E) (H) 1.670%, 10/01/07 17,460 306 Harborview Mortgage Loan Trust, Ser 2005-10, Cl X, IO (F) (H) 1.401%, 10/01/07 26,954 615 Harborview Mortgage Loan Trust, Ser 2005-12, Cl X2B, IO (F) (H) 1.210%, 10/01/07 23,476 466 Harborview Mortgage Loan Trust, Ser 2007-3, Cl 2A1A (F) 5.520%, 10/19/07 16,084 15,752 Heller Financial Commercial Mortgage, Ser 1999-PH1, Cl C (F) 7.024%, 10/15/07 250 256 Home Equity Asset Trust NIM, Ser 2005-5N, Cl A 5.500%, 12/27/35 499 25 Home Equity Asset Trust, Ser 2003-4, Cl M2 (F) 7.720%, 10/25/07 1,275 1,239 Impac Secured Assets CMO Owners Trust, Ser 2006-3, Cl A4 (F) 5.410%, 10/27/07 6,635 6,586 Impac Secured Assets CMO Owners Trust, Ser 2007-1, Cl A1 (F) 5.380%, 10/25/07 17,937 17,895 Indymac INDA Mortgage Loan Trust, Ser 2005-AR2, Cl 1A1 (F) 4.887%, 10/01/07 639 638 Indymac INDA Mortgage Loan Trust, Ser 2007-AR7, Cl 1A1 6.867%, 11/01/37 2,480 2,479 Indymac Index Mortgage Loan Trust, Ser 2004-AR12, Cl AX2, IO (E) (H) 1.195%, 10/01/07 12,559 234 Indymac Seconds Asset-Backed Trust, Ser 2006-A, Cl A (F) 5.261%, 10/25/07 3,562 2,925 JPMorgan Chase Commercial Mortgage, Ser 2001-CIB2, Cl A3 6.429%, 04/15/35 5,170 5,395 JPMorgan Chase Commercial Mortgage, Ser 2002-C2, Cl A2 5.050%, 12/12/34 3,215 3,190 - -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) - -------------------------------------------------------------------------------- JPMorgan Chase Commercial Mortgage, Ser 2002-CIB5, Cl A2 5.161%, 10/12/37 $ 590 $ 588 JPMorgan Chase Commercial Mortgage, Ser 2003-CB7, Cl A4 (F) 4.879%, 10/12/07 1,093 1,067 JPMorgan Chase Commercial Mortgage, Ser 2005-CB11, Cl ASB 5.201%, 08/12/37 878 874 JPMorgan Chase Commercial Mortgage, Ser 2005-CB12, Cl A4 4.895%, 09/12/37 680 655 JPMorgan Chase Commercial Mortgage, Ser 2005-CB13, Cl AM (F) 5.513%, 10/01/07 582 571 JPMorgan Chase Commercial Mortgage, Ser 2005-LDP2, Cl A1 4.334%, 07/15/42 106 105 JPMorgan Chase Commercial Mortgage, Ser 2005-LDP3, Cl ASB 4.893%, 08/15/42 1,171 1,147 JPMorgan Chase Commercial Mortgage, Ser 2005-LDP4, Cl A4 (F) 4.918%, 10/01/07 3,700 3,567 JPMorgan Chase Commercial Mortgage, Ser 2006-CB17, Cl ASB 5.415%, 10/01/07 2,253 2,237 JPMorgan Chase Commercial Mortgage, Ser 2007-CB18, Cl A4 5.440%, 10/01/07 11,000 10,849 JPMorgan Chase Commercial Mortgage, Ser 2007-LD11, Cl AM 6.007%, 10/01/07 3,836 3,858 JPMorgan Mortgage Trust, Ser 2005-A3, Cl 11A2 (F) 4.491%, 10/25/07 12,385 11,692 JPMorgan Mortgage Trust, Ser 2006-A2, Cl 2A2 (F) 5.754%, 10/01/07 12,600 12,604 JPMorgan Mortgage Trust, Ser 2006-A3, Cl 3A4 (F) 5.742%, 10/01/07 13,560 13,580 LB Commercial Conduit Mortgage Trust, Ser 1999-C2, Cl B 7.425%, 10/15/32 378 395 LB-UBS Commercial Mortgage Trust, Ser 2002-C2, Cl A4 5.594%, 06/15/31 7,367 7,492 LB-UBS Commercial Mortgage Trust, Ser 2003-C5, Cl A2 3.478%, 07/15/27 1,000 987 LB-UBS Commercial Mortgage Trust, Ser 2003-C8, Cl A4 5.124%, 11/15/32 893 883 - -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Annual Report / September 30, 2007 163 SCHEDULE OF INVESTMENTS Core Fixed Income Fund (Continued) September 30, 2007 - -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) - -------------------------------------------------------------------------------- LB-UBS Commercial Mortgage Trust, Ser 2005-C7, Cl AM (F) 5.263%, 10/11/07 $ 662 $ 644 LB-UBS Commercial Mortgage Trust, Ser 2007-C2, Cl AM 5.493%, 10/11/07 1,753 1,715 Lehman XS Trust, Ser 2005-5N, Cl M4 (F) 7.070%, 10/31/07 1,800 1,264 Long Beach Mortgage Loan Trust, Ser 2006-WL1, Cl 1A3 (F) 5.650%, 10/27/07 1,307 1,231 MLCC Mortgage Investors, Ser 2004-B, Cl A3 (F) 7.034%, 10/01/07 1,347 1,381 Master Asset-Backed Securities Trust, Ser 2005-AB1, Cl A1B (G) 5.143%, 10/01/07 281 279 Master Asset-Backed Securities, Ser 2006-AB1, Cl A1 (F) 5.645%, 10/27/07 7,119 7,084 Master Reperforming Loan Trust, Ser 2005-1, Cl 1A1 6.000%, 08/25/34 4,640 4,631 Master Seasoned Securities Trust, Ser 2004-2, Cl A2 6.500%, 08/25/32 4,879 4,966 Merrill Lynch First Franklin Mortgage Loan Trust, Ser 2007-1, Cl M1 (F) 5.700%, 10/27/07 2,084 1,838 Merrill Lynch Mortgage Investors Trust, Ser 2003-OPT1, Cl A3 (F) 5.680%, 07/25/34 1,227 1,189 Merrill Lynch Mortgage Investors Trust, Ser 2004-A1, Cl 4A (F) 5.322%, 10/01/07 7,403 7,346 Merrill Lynch Mortgage Investors Trust, Ser 2005-SL3, Cl A1 (F) 5.550%, 10/10/07 1,268 1,254 Merrill Lynch Mortgage Investors Trust, Ser 2006-WMC2, Cl A2D (G) 5.895%, 10/25/07 5,200 5,185 Merrill Lynch Mortgage Investors, Ser 2007-SL1, Cl A1 (F) 5.620%, 10/11/07 7,841 7,707 Merrill Lynch Mortgage Trust, Ser 2004-BPC1, Cl A5 4.855%, 10/12/41 2,431 2,344 Merrill Lynch Mortgage Trust, Ser 2004-MKB1, Cl B 5.280%, 02/12/42 465 458 Merrill Lynch Mortgage Trust, Ser 2005-CIP1, Cl AM (F) 5.107%, 10/01/07 563 542 - -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) - -------------------------------------------------------------------------------- Merrill Lynch Mortgage Trust, Ser 2005-LC1, Cl A4 (F) 5.291%, 10/01/07 $ 2,066 $ 2,043 Merrill Lynch Mortgage Trust, Ser 2005-MCP1, Cl A4 (F) 4.747%, 06/12/43 3,780 3,603 Merrill Lynch/Countrywide Commercial Mortgage Trust, Ser 2006-4, Cl ASB 5.133%, 12/12/49 3,136 3,066 Merrill Lynch/Countrywide Commercial Mortgage Trust, Ser 2007-5, Cl A4 5.378%, 08/12/48 1,270 1,248 Merrill Lynch/Countrywide Commercial Mortgage Trust, Ser 2007-6, Cl AM 5.526%, 10/01/07 2,411 2,362 Morgan Stanley Capital I, Ser 2003-IQ5, Cl A4 (F) 5.010%, 10/01/07 2,161 2,134 Morgan Stanley Capital I, Ser 2003-NC8, Cl M1 (F) 6.205%, 10/27/07 2,200 2,119 Morgan Stanley Capital I, Ser 2004-HQ3, Cl D 4.900%, 01/13/41 124 120 Morgan Stanley Capital I, Ser 2004-T13, Cl B 4.760%, 09/13/45 578 556 Morgan Stanley Capital I, Ser 2005-HQ5, Cl AAB 5.037%, 01/14/42 1,700 1,683 Morgan Stanley Capital I, Ser 2005-HQ6, Cl A4A 4.989%, 08/13/42 5,600 5,426 Morgan Stanley Capital I, Ser 2005-HQ7, Cl AAB (F) 5.351%, 10/01/07 2,806 2,796 Morgan Stanley Capital I, Ser 2006-WMC1, Cl A2A (F) 5.390%, 10/25/07 202 201 Morgan Stanley Capital I, Ser 2007-HE2, Cl A2A (F) 5.360%, 10/25/07 711 706 Morgan Stanley Capital I, Ser 2007-IQ14, Cl A4 5.692%, 04/15/49 13,680 13,704 Morgan Stanley Dean Witter Capital, Ser 2000-LIFE, Cl A2 7.570%, 11/15/36 3,044 3,178 Morgan Stanley Dean Witter Capital, Ser 2002-IQ2, Cl A3 5.520%, 12/15/35 906 910 Morgan Stanley Dean Witter Capital, Ser 2003-NC4, Cl M2 (F) 8.320%, 10/25/07 247 241 - -------------------------------------------------------------------------------- 164 SEI Institutional Managed Trust / Annual Report / September 30, 2007 - -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) - -------------------------------------------------------------------------------- Morgan Stanley Home Equity Loans, Ser 2007-1, Cl A1 (F) 5.370%, 10/25/07 $ 672 $ 668 Morgan Stanley Mortgage Loan Trust, Ser 2007-6XS, Cl 2A1S (F) 5.430%, 10/25/07 637 636 Mortgage Capital Funding, Ser 1998-MC2, Cl A2 6.423%, 06/18/30 2,793 2,793 New Century Home Equity Loan Trust, Ser 2003-B, Cl M1 (F) 5.970%, 10/27/07 1,917 1,780 New Century Home Equity Loan Trust, Ser 2004-A, Cl AII3 (F) 4.450%, 10/01/07 667 664 New Century Home Equity Loan Trust, Ser 2005-A, Cl A2 (G) 4.461%, 10/25/07 3,117 3,092 Novastar Home Equity Loan, Ser 2007-1, Cl A2A1 (F) 5.420%, 10/31/07 13,417 13,266 Option One Mortgage Loan Trust, Ser 2001-4, Cl A (F) 5.731%, 10/25/07 532 524 Option One Mortgage Loan Trust, Ser 2003-5, Cl M1 (F) 5.970%, 10/23/07 1,019 975 Option One Mortgage Loan Trust, Ser 2006-1, Cl M10 (F) 7.820%, 10/27/07 130 75 Option One Mortgage Loan Trust, Ser 2006-1, Cl M11 (F) 7.820%, 10/27/07 280 120 Option One Mortgage Securities, Ser 2005-3A, Cl N1 5.438%, 08/26/35 263 231 Orchid Structured Finance CDO, Ser 2003-1A, Cl A1MM (F) 5.510%, 11/18/07 4,916 4,916 Ownit Mortgage Loan Asset-Backed Securities Trust, Ser 2006-1, Cl AF1 (G) 5.424%, 12/25/36 7,065 6,989 Ownit Mortgage Loan NIM Trust, Ser 2005-5A, Cl N1 5.500%, 10/25/36 32 30 Residential Accredit Loans, Ser 2006-Q01, Cl 2A3 (F) 5.720%, 10/27/07 770 756 Residential Asset Mortgage Products, Ser 2003-RS11, Cl MII1 (F) 6.050%, 10/25/07 188 178 - -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) - -------------------------------------------------------------------------------- Residential Asset Mortgage Products, Ser 2003-RS2, Cl AII (F) 5.471%, 10/25/07 $ 90 $ 89 Residential Asset Mortgage Products, Ser 2003-RS7, Cl AI6 (F) 5.340%, 10/01/07 675 659 Residential Asset Mortgage Products, Ser 2004-SL1, Cl A8 6.500%, 11/25/31 3,023 3,061 Residential Asset Mortgage Products, Ser 2007-RS1, Cl A1 (F) 5.400%, 10/09/07 5,738 5,696 Residential Asset Securities, Ser 2006-EMX2, Cl A1 (F) 5.585%, 10/27/07 2,092 2,085 Residential Asset Securitization Trust, Ser 2004-IP2, Cl 2A1 (F) 5.252%, 10/01/07 3,625 3,616 Residential Funding Mortgage Securities, Ser 2000-HI1, Cl AI7 (G) 8.290%, 02/25/25 2,942 2,932 Residential Funding Mortgage Securities, Ser 2005-HS1, Cl AI1 (F) 5.251%, 10/25/07 3,941 3,917 Resmae Mortgage Loan Trust, Ser 2006-1, Cl A2A (C) (F) 5.420%, 10/25/07 7,058 7,013 SB Finance NIM Trust, Ser 2005-HE3, Cl N1 (C) 4.750%, 09/25/35 563 169 SLM Student Loan Trust, Ser 2006-C, Cl C (F) 5.750%, 12/28/07 4,000 3,724 Sail NIM Notes, Ser 2005-11A, Cl A 7.500%, 01/27/36 313 38 Salomon Brothers Mortgage Securities VII, Ser 2001-C2, Cl A3 6.499%, 10/13/11 5,750 6,015 Sharps SP I LLC NIM Trust, Ser 2005-HE5N, Cl A1 (C) 5.800%, 08/25/35 309 124 Sharps SP I LLC NIM Trust, Ser 2005-WF1N, Cl NA (C) 6.150%, 05/25/35 6 4 Soundview Home Equity Loan Trust, Ser 2005-OPT4, Cl M8 (F) 8.010%, 10/25/07 500 252 Start, Ser 2003-1, Cl X (E) 4.130%, 10/21/07 4,946 4,946 Start, Ser 2003-2, Cl X (E) 4.600%, 10/21/07 4,951 4,948 Structured Adjustable Rate Mortgage Loan, Ser 2005-19XS, Cl 1A1 (F) 5.451%, 10/26/07 2,522 2,458 - -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Annual Report / September 30, 2007 165 SCHEDULE OF INVESTMENTS Core Fixed Income Fund (Continued) September 30, 2007 - -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) - -------------------------------------------------------------------------------- Structured Adjustable Rate Mortgage Loan, Ser 2007-7, Cl 2AS2 5.750%, 10/01/07 $ 13,441 $ 13,372 Structured Asset Investment Loan, Ser 2003-BC4, Cl M2 (F) 8.320%, 10/25/07 241 224 Structured Asset Securities, Ser 2004-19XS, Cl A2 (G) 4.370%, 10/01/07 693 690 Structured Asset Securities, Ser 2005-17, Cl 5A1 (F) 5.500%, 10/01/07 3,737 3,639 Structured Asset Securities, Ser 2006-GEL4, Cl A1 (F) 5.440%, 10/27/07 4,940 4,899 Terwin Mortgage Trust, Ser 2005-9HGS, Cl A1 (F) 4.000%, 10/01/07 1,903 1,881 Terwin Mortgage Trust, Ser 2006-2HGS, Cl A1 (F) 4.500%, 03/25/37 6,747 6,425 Terwin Mortgage Trust, Ser 2006-4SL, Cl A1 (F) 4.500%, 05/25/37 6,303 5,983 Terwin Mortgage Trust, Ser 2006-6, Cl A1 4.500%, 07/25/37 5,002 4,665 Terwin Mortgage Trust, Ser 2006-8, Cl 1A2 5.000%, 10/01/07 4,500 4,328 Terwin Mortgage Trust, Ser 2006-HF1, Cl A1A 4.500%, 02/25/37 1,609 1,599 Thornburg Mortgage Securities Trust, Ser 2005-3, Cl 2A1 (F) (J) 5.371%, 10/25/07 12,988 12,957 Thornburg Mortgage Securities Trust, Ser 2006-1, Cl A3 (F) 5.301%, 10/01/07 22,036 21,926 Thornburg Mortgage Securities Trust, Ser 2006-3, Cl A2 (F) 5.236%, 10/25/07 13,881 13,796 Thornburg Mortgage Securities Trust, Ser 2006-3, Cl A3 (F) 5.241%, 10/25/07 14,277 14,187 Thornburg Mortgage Securities Trust, Ser 2007-4, Cl 2A1 6.240%, 08/30/37 7,434 7,435 6.228%, 10/01/07 6,792 6,724 US Bank National Mortgage Association, Ser 2001-1, Cl A 5.920%, 05/25/12 4,735 4,835 - -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) - -------------------------------------------------------------------------------- Wachovia Bank Commercial Mortgage Trust, Ser 2002-C1A, Cl A4 6.287%, 04/15/34 $ 1,543 $ 1,610 Wachovia Bank Commercial Mortgage Trust, Ser 2002-C2, Cl A4 4.980%, 11/15/34 1,816 1,794 Wachovia Bank Commercial Mortgage Trust, Ser 2003-C6, Cl A3 4.957%, 08/15/35 737 735 Wachovia Bank Commercial Mortgage Trust, Ser 2003-C7, Cl A2 (F) 5.077%, 10/01/07 1,690 1,665 Wachovia Bank Commercial Mortgage Trust, Ser 2003-C8, Cl A3 4.445%, 11/15/35 839 827 Wachovia Bank Commercial Mortgage Trust, Ser 2003-C9, Cl A4 5.012%, 12/15/35 566 555 Wachovia Bank Commercial Mortgage Trust, Ser 2003-C9, Cl B (F) 5.109%, 10/01/07 334 329 Wachovia Bank Commercial Mortgage Trust, Ser 2004-C10, Cl A4 4.748%, 02/15/41 5,127 4,932 Wachovia Bank Commercial Mortgage Trust, Ser 2004-C11, Cl B (F) 5.306%, 10/01/07 1,641 1,586 Wachovia Bank Commercial Mortgage Trust, Ser 2004-C12, Cl A4 5.409%, 10/01/07 1,509 1,499 Wachovia Bank Commercial Mortgage Trust, Ser 2004-C15, Cl B (F) 4.892%, 10/01/07 806 756 Wachovia Bank Commercial Mortgage Trust, Ser 2005-C19, Cl A6 4.699%, 05/15/44 685 650 Wachovia Bank Commercial Mortgage Trust, Ser 2005-C20, Cl A7 (F) 5.118%, 10/01/07 1,476 1,443 Wachovia Bank Commercial Mortgage Trust, Ser 2005-C21, Cl A4 (F) 5.385%, 10/01/07 1,447 1,428 Wachovia Bank Commercial Mortgage Trust, Ser 2006-C25, Cl AM (F) 5.928%, 10/01/07 450 452 Wachovia Bank Commercial Mortgage Trust, Ser 2006-C26, Cl APB 5.997%, 06/15/45 2,047 2,094 Washington Mutual Mortgage Pass-Through Certificates, Ser 2003-MS1, Cl 1A 5.000%, 02/25/18 2,062 2,007 - -------------------------------------------------------------------------------- 166 SEI Institutional Managed Trust / Annual Report / September 30, 2007 - -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) - -------------------------------------------------------------------------------- Washington Mutual Mortgage Pass-Through Certificates, Ser 2003-MS2, Cl 3A1 5.000%, 03/25/18 $ 6,462 $ 6,303 Washington Mutual Mortgage Pass-Through Certificates, Ser 2005-AR13, Cl A1A1 (F) 5.421%, 10/25/07 5,482 5,360 Washington Mutual Mortgage Pass-Through Certificates, Ser 2005-AR15, Cl A1A2 (F) 5.411%, 10/25/07 8,151 7,963 Washington Mutual Mortgage Pass-Through Certificates, Ser 2005-AR16, Cl 1A4A (F) 5.109%, 10/25/07 12,955 12,792 Washington Mutual Mortgage Pass-Through Certificates, Ser 2005-AR19, Cl A1A2 (F) 5.421%, 10/25/07 7,996 7,843 Wells Fargo Home Equity Trust, Ser 2004-2, Cl M8B (F) 5.000%, 10/01/07 590 444 Wells Fargo Mortgage-Backed Securities Trust, Ser 2004-H, Cl A1 (F) 4.525%, 10/01/07 7,923 7,749 Wells Fargo Mortgage-Backed Securities Trust, Ser 2004-I, Cl B1 (F) 5.839%, 10/01/07 460 462 Wells Fargo Mortgage-Backed Securities Trust, Ser 2005-17, Cl 1A1 (F) 5.500%, 10/01/07 10,829 10,524 Wells Fargo Mortgage-Backed Securities Trust, Ser 2006-2, Cl 3A1 5.750%, 03/25/36 2,024 1,974 Zuni Mortgage Loan Trust, Ser 2006-OA1, Cl A1 (F) 5.261%, 10/25/07 8,138 8,076 -------------- 1,076,694 -------------- OTHER ASSET-BACKED SECURITIES -- 2.9% Bear Stearns Structured Products, Ser 2007-R10, Cl A1 5.853%, 10/26/07 17,802 17,718 Bear Stearns Structured Products, Ser 2007-R11, Cl A1A 5.729%, 10/25/07 18,600 18,314 CNH Equipment Trust, Ser 2004-A, Cl A4A (F) 5.863%, 10/15/07 1,493 1,492 - -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) - -------------------------------------------------------------------------------- California Infrastructure PG&E, Ser 1997-1, Cl A8 6.480%, 12/26/09 $ 85 $ 85 California Infrastructure SCE, Ser 1997-1, Cl A7 6.420%, 12/26/09 386 386 Capital One Multi-Asset Execution Trust, Ser 2007-A7, Cl A7 5.750%, 07/15/20 2,623 2,613 Connecticut RRB Special Purpose Trust, Ser 2001-1, Cl A5 6.210%, 12/30/11 721 746 Domino's Pizza Master Issuer LLC, Ser 2007-1, Cl A2 5.261%, 04/25/37 1,743 1,727 Embarcadero Aircraft Securitization, Ser 2000-A, Cl A1 (F) 6.090%, 10/15/07 4,297 3,653 GSAMP Trust, Ser 2003-SEA, Cl A1 (F) 5.531%, 10/25/07 4,095 3,997 Great America Leasing Receivables, Ser 2006-1, Cl A3 5.340%, 01/15/10 1,203 1,203 Green Tree Financial, Ser 1993-4, Cl A5 7.050%, 01/15/19 452 463 Green Tree Financial, Ser 1996-5, Cl A6 7.750%, 07/15/27 1,311 1,378 Lehman XS Trust, Ser 2005-5N, Cl 1A1 (F) 5.431%, 10/01/07 6,659 6,527 Lehman XS Trust, Ser 2007-9, Cl 1A1 5.251%, 10/25/07 14,940 14,897 Long Beach Asset Holdings, Ser 2005-WL1, Cl N1 5.193%, 06/25/45 164 122 MSCC Heloc Trust, Ser 2005-1, Cl A (F) 5.321%, 10/25/07 663 650 Master Specialized Loan Trust, Ser 2007-2, Cl A (F) 5.855%, 10/28/07 12,789 12,533 Mid-State Trust, Ser 11, Cl A1 4.864%, 07/15/38 5,221 4,881 Oncor Electric Delivery Transition Bond, Ser 2003-1, Cl A2 4.030%, 02/15/12 3,795 3,761 SLC Student Loan Trust, Ser 2006-2, Cl B (F) 5.580%, 12/19/07 5,250 4,951 - -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Annual Report / September 30, 2007 167 SCHEDULE OF INVESTMENTS Core Fixed Income Fund (Continued) September 30, 2007 - -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) - -------------------------------------------------------------------------------- SLM Student Loan Trust, Ser 2006-9, Cl B (F) 5.590%, 10/12/07 $ 4,000 $ 3,836 Saco I Trust, Ser 2005-9, Cl A1 (F) 5.570%, 10/27/07 962 882 Saco I Trust, Ser 2005-WM3, Cl A1 (F) 5.580%, 10/27/07 1,575 1,565 Saco I Trust, Ser 2006-6, Cl A (F) 5.261%, 10/25/07 4,545 4,042 Securitized Asset-Backed Receivables LLC, Ser 2005-FR4, Cl A3 (F) 5.331%, 10/25/07 236 235 Small Business Administration, Ser 2003-P10A, Cl 1 4.524%, 02/10/13 3,367 3,290 Structured Asset Securities, Ser 2007-BC2, Cl A2 (F) 5.410%, 10/25/07 15,414 15,288 TMS SBA Loan Trust, Ser 1999-1, Cl A (F) 6.050%, 10/15/07 290 278 -------------- 131,513 -------------- Total Asset-Backed Securities (Cost $1,266,739) ($ Thousands) 1,239,553 -------------- CORPORATE OBLIGATIONS -- 21.4% CONSUMER DISCRETIONARY -- 1.5% American Achievement 8.250%, 04/01/12 900 895 Boyd Gaming 7.125%, 02/01/16 350 339 6.750%, 04/15/14 570 559 CCH I LLC 11.000%, 10/01/15 740 749 COX Communications 7.875%, 08/15/09 750 784 4.625%, 06/01/13 805 759 CSC Holdings 7.625%, 07/15/18 80 76 Caesars Entertainment 8.125%, 05/15/11 540 551 Cengage Learning Acquisitions (C) 10.500%, 01/15/15 480 474 Clear Channel Communications 6.250%, 03/15/11 2,230 2,044 4.250%, 05/15/09 990 944 Comcast 9.000%, 09/01/08 1,150 1,187 6.500%, 01/15/15 to 01/15/17 1,475 1,523 6.300%, 11/15/17 565 574 5.850%, 11/15/15 465 461 - -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) - -------------------------------------------------------------------------------- 5.650%, 06/15/35 $ 1,035 $ 924 5.450%, 11/15/10 525 529 5.300%, 01/15/14 2,340 2,272 Comcast Cable Communications 8.375%, 03/15/13 3,320 3,721 6.750%, 01/30/11 2,310 2,396 Daimler Finance LLC 8.500%, 01/18/31 525 651 7.300%, 01/15/12 1,400 1,493 6.500%, 11/15/13 4,475 4,640 Daimler Finance LLC MTN 5.750%, 09/08/11 905 913 5.710%, 12/08/07 (F) 2,975 2,955 DirecTV Holdings 8.375%, 03/15/13 350 364 Eastman Kodak 7.250%, 11/15/13 2,740 2,719 Echostar DBS 7.125%, 02/01/16 1,970 2,024 Ford Motor 9.215%, 09/15/21 1,000 865 7.450%, 07/16/31 (J) 2,940 2,308 General Motors (J) 8.250%, 07/15/23 3,100 2,712 Hasbro 6.300%, 09/15/17 585 582 Hertz 8.875%, 01/01/14 725 747 Home Depot 5.875%, 12/16/36 735 628 Idearc 8.000%, 11/15/16 1,280 1,277 Inn of the Mountain Gods 12.000%, 11/15/10 1,010 1,066 Lamar Media, Ser B 6.625%, 08/15/15 720 695 MGM Mirage 8.500%, 09/15/10 160 167 7.625%, 01/15/17 1,440 1,426 Mandalay Resort Group (J) 9.500%, 08/01/08 440 450 News America 6.200%, 12/15/34 1,140 1,073 River Rock Entertainment 9.750%, 11/01/11 930 960 Rogers Cable 5.500%, 03/15/14 470 453 Rogers Communications 7.875%, 05/01/12 550 593 6.750%, 03/15/15 1,015 1,043 Service International 7.625%, 10/01/18 340 353 6.750%, 04/01/16 20 19 - -------------------------------------------------------------------------------- 168 SEI Institutional Managed Trust / Annual Report / September 30, 2007 - -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) - -------------------------------------------------------------------------------- Station Casinos (J) 7.750%, 08/15/16 $ 1,495 $ 1,480 Sun Media 7.625%, 02/15/13 470 462 Target 5.375%, 05/01/17 1,110 1,065 Time Warner 7.700%, 05/01/32 3,645 4,002 6.875%, 05/01/12 2,455 2,576 Time Warner Entertainment 8.375%, 07/15/33 1,685 1,976 Tyco Electronics 6.550%, 10/01/17 370 375 Univision Communications PIK (C) (J) 9.750%, 03/15/15 420 410 Viacom 6.875%, 04/30/36 500 498 5.750%, 04/30/11 495 500 Visteon (J) 8.250%, 08/01/10 920 810 -------------- 69,091 -------------- CONSUMER STAPLES -- 0.5% Altria Group 7.750%, 01/15/27 1,720 2,113 7.000%, 11/04/13 235 255 Anheuser-Busch 5.050%, 10/15/16 940 899 CVS Caremark 9.350%, 01/10/23 (C) 8,600 10,524 5.750%, 06/01/17 515 503 Delhaize Group (C) 6.500%, 06/15/17 2,265 2,284 Estee Lauder 5.550%, 05/15/17 1,180 1,160 General Mills 6.000%, 02/15/12 750 767 5.650%, 09/10/12 945 953 Kellogg, Ser B 6.600%, 04/01/11 890 929 Kroger 6.400%, 08/15/17 240 245 Philip Morris Capital 7.500%, 07/16/09 1,750 1,814 Reynolds American 6.750%, 06/15/17 1,260 1,289 Safeway 6.350%, 08/15/17 240 244 Schering-Plough 6.000%, 09/15/17 365 367 -------------- 24,346 -------------- - -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) - -------------------------------------------------------------------------------- ENERGY -- 2.4% Anadarko Finance, Ser B 7.500%, 05/01/31 $ 3,610 $ 3,932 6.750%, 05/01/11 20 21 Anadarko Petroleum 6.450%, 09/15/36 (J) 5,850 5,759 5.760%, 12/15/07 (F) 4,000 3,977 Canadian Natural Resources 6.250%, 03/15/38 995 960 5.850%, 02/01/35 800 743 5.700%, 05/15/17 980 957 Chesapeake Energy 6.375%, 06/15/15 500 491 Compagnie Generale de Geophysique 7.750%, 05/15/17 110 113 7.500%, 05/15/15 1,205 1,241 Conoco 6.950%, 04/15/29 1,460 1,606 Conoco Funding 7.250%, 10/15/31 530 598 6.350%, 10/15/11 920 959 ConocoPhillips 5.900%, 10/15/32 1,090 1,070 ConocoPhillips Canada 5.625%, 10/15/16 1,280 1,275 Devon Financing 6.875%, 09/30/11 1,295 1,369 Dynegy Holdings (C) 7.750%, 06/01/19 1,485 1,420 El Paso (J) 7.000%, 06/15/17 3,920 3,980 6.950%, 06/01/28 6,750 6,270 El Paso MTN 7.800%, 08/01/31 967 982 7.750%, 01/15/32 1,830 1,858 El Paso Natural Gas (C) 5.950%, 04/15/17 540 527 El Paso Performance-Linked Trust (C) 7.750%, 07/15/11 5,470 5,619 GAZ Capital (C) 6.510%, 03/07/22 3,460 3,425 6.212%, 11/22/16 4,740 4,710 Hess 7.875%, 10/01/29 620 713 7.300%, 08/15/31 4,830 5,295 Husky Energy 6.800%, 09/15/37 1,125 1,154 Husky Oil 7.550%, 11/15/16 845 936 Kansas Gas & Electric 5.647%, 03/29/21 1,460 1,394 Kerr-McGee 7.875%, 09/15/31 820 948 6.950%, 07/01/24 450 466 - -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Annual Report / September 30, 2007 169 SCHEDULE OF INVESTMENTS Core Fixed Income Fund (Continued) September 30, 2007 - -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) - -------------------------------------------------------------------------------- Kinder Morgan Energy Partners 7.125%, 03/15/12 $ 90 $ 95 6.750%, 03/15/11 580 604 6.300%, 02/01/09 570 578 6.000%, 02/01/17 795 786 5.850%, 09/15/12 1,015 1,024 5.000%, 12/15/13 2,735 2,610 Marathon Oil 6.000%, 10/01/17 565 568 OPTI Canada (C) 8.250%, 12/15/14 700 705 7.875%, 12/15/14 880 880 Peabody Energy, Ser B 6.875%, 03/15/13 300 303 Pemex Project Funding Master Trust 6.625%, 06/15/35 1,840 1,896 Petrobras International Finance 6.125%, 10/06/16 5,965 6,011 Pogo Producing (J) 6.875%, 10/01/17 1,000 1,005 Ras Laffan LNG III (C) 6.332%, 09/30/27 1,305 1,263 SemGroup LP (C) 8.750%, 11/15/15 200 196 Shell International Finance 5.200%, 03/22/17 1,265 1,245 Sonat 7.625%, 07/15/11 2,850 2,950 Southern Natural Gas 8.000%, 03/01/32 170 192 5.900%, 04/01/17 (C) 595 579 Suburban Propane Partners 6.875%, 12/15/13 735 717 Tennessee Gas Pipeline 7.625%, 04/01/37 830 901 Tesoro (C) 6.500%, 06/01/17 385 382 Tosco 8.125%, 02/15/30 400 486 Vastar Resources 6.500%, 04/01/09 3,490 3,581 Weatherford International (C) 6.800%, 06/15/37 370 380 6.350%, 06/15/17 1,900 1,933 5.950%, 06/15/12 1,425 1,453 Western Oil Sands 8.375%, 05/01/12 1,195 1,319 Williams (J) 8.750%, 03/15/32 5,860 6,746 7.750%, 06/15/31 1,880 1,976 Williams, Ser A 7.500%, 01/15/31 90 93 - -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) - -------------------------------------------------------------------------------- XTO Energy 7.500%, 04/15/12 $ 850 $ 918 6.750%, 08/01/37 1,070 1,116 -------------- 110,259 -------------- FINANCIALS -- 10.5% ABX Financing (C) 6.350%, 10/15/36 4,250 4,118 ASIF Global Financing XIX (C) 4.900%, 01/17/13 390 377 Ace INA Holdings 6.700%, 05/15/36 605 623 5.700%, 02/15/17 720 711 Aiful (C) 5.000%, 08/10/10 1,420 1,373 Allied Capital 6.625%, 07/15/11 3,420 3,496 Allied World Assurance (J) 7.500%, 08/01/16 2,500 2,621 American Express (F) (J) 6.800%, 09/01/16 1,130 1,158 American Honda Finance (C) 5.100%, 03/27/12 1,685 1,701 American International Group 6.250%, 03/15/37 (J) 2,560 2,410 4.700%, 10/01/10 1,460 1,448 American International Group MTN 5.450%, 05/18/17 1,755 1,708 4.950%, 03/20/12 880 864 BAC Capital Trust XI 6.625%, 05/23/36 795 809 BRE Properties 7.450%, 01/15/11 2,430 2,569 Bank One 7.875%, 08/01/10 3,525 3,771 Bank of America 7.400%, 01/15/11 1,325 1,410 5.420%, 03/15/17 4,900 4,764 5.375%, 06/15/14 3,375 3,338 5.300%, 03/15/17 1,000 970 Banponce Trust I, Ser A 8.327%, 02/01/27 2,590 2,698 Bear Stearns 5.350%, 02/01/12 3,280 3,215 4.500%, 10/28/10 1,470 1,425 Bunge Finance 4.375%, 12/15/08 425 420 Bunge Finance LP 5.900%, 04/01/17 600 574 CIT Group 5.000%, 02/01/15 1,440 1,308 4.250%, 02/01/10 1,595 1,515 - -------------------------------------------------------------------------------- 170 SEI Institutional Managed Trust / Annual Report / September 30, 2007 - -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) - -------------------------------------------------------------------------------- Capital One Bank 4.875%, 05/15/08 $ 1,480 $ 1,476 Capital One Capital III 7.686%, 08/15/36 1,361 1,337 Capital One Financial 6.750%, 09/15/17 1,130 1,159 6.150%, 09/01/16 380 371 Capmark Financial Group (C) 6.300%, 05/10/17 130 113 5.875%, 05/10/12 260 237 China Development Bank 5.000%, 10/15/15 500 483 Cigna 6.150%, 11/15/36 770 728 Citigroup 6.000%, 08/15/17 1,105 1,131 5.875%, 02/22/33 2,680 2,559 5.500%, 08/27/12 (J) 2,240 2,265 5.100%, 09/29/11 650 648 5.000%, 09/15/14 3,175 3,060 3.625%, 02/09/09 3,155 3,099 Countrywide Financial MTN 5.800%, 06/07/12 975 914 5.430%, 12/26/07 1,000 940 Countrywide Home Loan MTN, Ser K 4.250%, 12/19/07 4,100 4,053 Credit Suisse First Boston London (C) (F) (L) 0.000%, 12/24/07 3,498 3,367 0.000%, 12/24/07 8,663 8,338 Credit Suisse First Boston USA 4.875%, 08/15/10 2,210 2,207 Credit Suisse USA 5.500%, 08/16/11 2,195 2,217 DI Finance, Ser B 9.500%, 02/15/13 90 93 Depfa ACS Bank (C) 5.125%, 03/16/37 3,000 2,804 Deutsche Bank Capital Funding Trust (C) (F) 5.628%, 01/19/49 2,760 2,564 Developers Divers Realty + 5.375%, 10/15/12 585 570 Discover Financial Services (C) 6.450%, 06/12/17 250 243 Dryden Investor Trust (C) 7.157%, 07/23/08 1,751 1,765 ENEL Finance Internation 6.800%, 09/15/37 940 957 ERP Operating LP 5.500%, 10/01/12 280 275 East Lane Re Ltd. (C) (F) 11.355%, 10/30/07 650 650 - -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) - -------------------------------------------------------------------------------- Equity One + 3.875%, 04/15/09 $ 7,480 $ 7,318 FMC Finance III (C) 6.875%, 07/15/17 1,600 1,592 Farmers Exchange Capital (C) 7.200%, 07/15/48 1,465 1,429 7.050%, 07/15/28 1,434 1,428 Farmers Insurance Exchange (C) 8.625%, 05/01/24 3,017 3,458 First Data* 0.000%, 10/15/14 4,850 4,656 First Industrial LP MTN 7.500%, 12/01/17 1,800 1,936 Ford Motor Credit LLC 10.610%, 12/15/07 (F) (J) 3,863 3,942 8.000%, 12/15/16 4,680 4,378 7.875%, 06/15/10 7,405 7,239 7.375%, 10/28/09 3,470 3,403 7.250%, 10/25/11 336 315 6.625%, 06/16/08 1,500 1,489 Forest City Enterprises 7.625%, 06/01/15 500 471 6.500%, 02/01/17 270 241 Freddie Mac (J) 4.625%, 10/25/12 6,400 6,393 GE Global Insurance Holding 7.500%, 06/15/10 105 112 GMAC LLC 7.821%, 10/25/07 (F) 5,668 5,225 7.750%, 01/19/10 10,170 10,087 7.250%, 03/02/11 3,520 3,412 6.875%, 09/15/11 6,120 5,824 5.850%, 01/14/09 1,680 1,644 5.625%, 05/15/09 14,680 14,292 5.125%, 05/09/08 (J) 1,480 1,468 GMAC LLC MTN 4.375%, 12/10/07 690 687 General Electric Capital MTN 5.625%, 09/15/17 2,580 2,578 General Electric Capital MTN, Ser A 6.750%, 03/15/32 1,665 1,833 6.000%, 06/15/12 4,790 4,939 5.450%, 01/15/13 20 20 3.750%, 12/15/09 2,021 1,968 General Electric Capital MTN, Ser G 6.150%, 08/07/37 845 867 Genworth Financial 5.650%, 06/15/12 1,280 1,291 4.950%, 10/01/15 1,595 1,501 Glen Meadow PassThrough 6.505%, 02/12/67 2,200 2,164 - -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Annual Report / September 30, 2007 171 SCHEDULE OF INVESTMENTS Core Fixed Income Fund (Continued) September 30, 2007 - -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) - -------------------------------------------------------------------------------- Glitnir Banki 7.451%, 03/14/08 $ 400 $ 394 6.693%, 06/15/16 (C) (F) 3,960 4,047 6.375%, 09/25/12 2,330 2,335 6.330%, 07/28/11 (C) 1,980 2,014 Goldman Sachs Capital I 6.345%, 02/15/34 1,200 1,118 Goldman Sachs Capital II 5.793%, 12/29/49 1,210 1,145 Goldman Sachs Group 6.875%, 01/15/11 4,640 4,856 6.450%, 05/01/36 560 546 5.350%, 01/15/16 925 893 5.250%, 10/15/13 3,565 3,483 5.125%, 01/15/15 1,185 1,138 HBOS Capital Funding 6.071%, 12/31/07 830 799 HSBC Finance 8.000%, 07/15/10 3,475 3,729 7.000%, 05/15/12 1,505 1,582 6.375%, 11/27/12 585 605 4.625%, 09/15/10 650 639 4.125%, 12/15/08 1,000 989 4.125%, 11/16/09 2,155 2,100 HBSC Holdings PLC (J) 6.500%, 09/15/37 855 861 Health Care Properties + 6.000%, 01/30/17 4,000 3,820 5.650%, 12/15/13 1,710 1,652 Highwoods Realty LP + 7.500%, 04/15/18 3,642 3,873 7.125%, 02/01/08 3,000 3,009 Host Marriott LP, Ser Q + 6.750%, 06/01/16 455 450 ICICI Bank Ltd. 6.375%, 01/12/08 (F) 678 636 6.375%, 04/30/22 (C) 2,320 2,169 ILFC E-Capital Trust II (C) (F) (J) 6.250%, 12/21/65 900 868 International Lease Finance MTN 5.750%, 06/15/11 2,925 2,952 5.650%, 06/01/14 845 836 5.580%, 11/24/07 (F) 925 917 4.750%, 01/13/12 1,176 1,140 JPMorgan Chase 6.000%, 10/01/17 2,570 2,596 5.750%, 01/02/13 6,435 6,526 JPMorgan Chase Capital XXV, Ser Y 6.800%, 10/01/37 1,410 1,417 JPMorgan Chase Capital XV 5.875%, 03/15/35 1,645 1,478 - -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) - -------------------------------------------------------------------------------- Kaupthing Bank (C) 7.125%, 05/19/16 $ 1,350 $ 1,362 6.050%, 10/12/07 (F) 6,070 6,021 5.750%, 10/04/11 960 948 Korea Development Bank 4.625%, 09/16/10 1,000 990 4.250%, 11/13/07 755 754 Landsbanki Islands (C) 6.100%, 08/25/11 5,570 5,643 Lazard Group 7.125%, 05/15/15 2,925 2,954 6.850%, 06/15/17 1,580 1,555 Lehman Brothers Holdings 6.875%, 07/17/37 870 863 6.200%, 09/26/14 1,160 1,165 5.750%, 01/03/17 1,085 1,043 4.500%, 07/26/10 1,405 1,367 Lehman Brothers Holdings Capital Trust VII MTN 5.857%, 11/29/49 3,020 2,877 Lehman Brothers Holdings MTN 11.000%, 11/07/16 (F) 4,283 4,281 8.920%, 02/16/08 (F) 2,370 2,247 7.000%, 09/27/27 422 434 5.750%, 05/17/13 820 814 5.500%, 04/04/16 520 490 5.250%, 02/06/12 1,220 1,195 0.000%, 12/20/07 (F) 4,235 4,645 Lehman Brothers Holdings MTN, Ser H (F) (M) 0.000%, 11/30/07 3,570 3,626 Liberty Mutual Group (C) 7.500%, 08/15/36 (J) 1,374 1,408 6.500%, 03/15/35 1,525 1,391 Lincoln National 5.650%, 08/27/12 480 482 MUFG Capital Finance 1 Ltd. (F) 6.346%, 07/25/49 1,670 1,587 Marathon Oil 6.600%, 10/01/37 847 875 Merna Reinsurance, Ser B 7.110%, 10/03/07 3,750 3,745 Merrill Lynch 7.430%, 09/01/22 4 4 6.400%, 08/28/17 845 873 6.110%, 01/29/37 1,405 1,322 6.050%, 05/16/16 920 919 Merrill Lynch MTN (F) 8.950%, 11/18/07 1,790 1,665 8.680%, 11/02/07 3,160 3,093 Metlife 6.400%, 12/15/36 2,040 1,940 - -------------------------------------------------------------------------------- 172 SEI Institutional Managed Trust / Annual Report / September 30, 2007 - -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) - -------------------------------------------------------------------------------- Morgan Stanley 5.750%, 08/31/12 $ 180 $ 180 5.375%, 10/15/15 675 648 5.300%, 03/01/13 1,327 1,306 4.750%, 04/01/14 1,220 1,146 Morgan Stanley MTN (F) 5.810%, 10/18/07 1,200 1,148 Morgan Stanley MTN, Ser E 5.450%, 01/09/17 2,675 2,579 NB Capital Trust IV 8.250%, 04/15/27 4,500 4,683 National Capital Trust II (C) (F) 5.486%, 12/17/07 2,231 2,064 National City Bank MTN 5.800%, 06/07/17 1,290 1,281 Nationwide Building Society (J) 5.500%, 07/18/12 1,651 1,692 Nationwide Mutual Insurance (C) 6.600%, 04/15/34 690 676 North Front Pass-Through Trust (C) (F) 5.810%, 12/15/07 1,975 1,922 PNC Funding 5.250%, 11/15/15 1,520 1,455 Power Receivables Financial 6.290%, 01/01/12 3,494 3,597 6.290%, 01/01/12 (C) 287 295 Prime Property Funding + (C) 5.600%, 06/15/11 1,780 1,788 5.500%, 01/15/14 1,850 1,842 Prologis + 5.500%, 04/01/12 1,095 1,083 5.250%, 11/15/10 455 453 Prudential Financial MTN 5.700%, 12/14/36 1,240 1,143 RSHB Capital (C) 6.299%, 05/15/17 4,140 3,897 Rabobank Capital Fund Trust II (C) (F) 5.260%, 12/29/49 200 189 Rabobank Capital Fund Trust III (C) (F) 5.254%, 12/31/07 420 387 Realogy (J) 12.375%, 04/15/15 2,950 2,227 Residential Capital LLC 7.595%, 11/22/07 1,710 1,454 7.460%, 10/17/07 1,810 1,539 6.875%, 06/30/15 225 182 6.500%, 06/01/12 to 04/17/13 2,320 1,874 6.125%, 11/21/08 1,405 1,257 6.000%, 02/22/11 1,990 1,622 Resona Preferred Global Securities (C) (F) (J) 7.191%, 07/30/49 580 582 - -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) - -------------------------------------------------------------------------------- Royal Bank of Scotland Group PLC 5.000%, 10/01/14 $ 1,240 $ 1,198 0.000%, 10/04/07 2,215 2,215 0.000%, 10/04/07 3,250 3,316 SLM EXL, Ser S (F) (K) 5.763%, 10/15/07 12,582 12,582 SLM MTN 5.625%, 08/01/33 695 535 5.050%, 11/14/14 690 585 SLM MTN, Ser A 5.375%, 05/15/14 4,905 4,281 5.000%, 10/01/13 5,445 4,755 5.000%, 04/15/15 120 101 SLM MTN, Ser CPI (F) 3.820%, 10/01/07 5,580 5,133 Shinsei Finance Cayman Ltd. (C) (F) (J) 6.418%, 01/29/49 5,180 4,803 Simon Property Group LP + 5.750%, 05/01/12 1,860 1,858 5.750%, 12/01/15 910 889 5.600%, 09/01/11 690 691 Standard Chartered 6.400%, 09/26/17 715 719 Stingray Pass-Through Trust (C) 5.902%, 01/12/15 2,723 2,016 Sumitomo Mitsui Banking (C) (F) 5.625%, 10/15/15 2,620 2,438 Suntrust Banks 6.000%, 09/11/17 845 854 TNK-BP Finance 7.500%, 07/18/16 100 100 7.500%, 07/18/16 (C) 3,320 3,297 6.625%, 03/20/17 (C) 720 671 Toyota Motor Credit 5.500%, 12/15/08 120 121 Travelers 5.236%, 12/17/07 1,340 1,296 Travelers MTN 5.375%, 06/15/12 370 374 Turanalem Finance 8.250%, 01/22/37 3,614 3,153 8.250%, 01/22/37 (C) 4,190 3,541 UDR+ 5.500%, 04/01/14 2,000 1,950 UDR MTN+ 5.000%, 01/15/12 2,000 1,969 Ventas Realty LP+ 9.000%, 05/01/12 180 196 6.500%, 06/01/16 495 488 - -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Annual Report / September 30, 2007 173 SCHEDULE OF INVESTMENTS Core Fixed Income Fund (Continued) September 30, 2007 - -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) - -------------------------------------------------------------------------------- Wachovia 5.750%, 06/15/17 $ 1,125 $ 1,129 5.500%, 08/01/35 1,405 1,279 5.300%, 10/15/11 3,285 3,300 5.250%, 08/01/14 4,390 4,302 4.875%, 02/15/14 2,120 2,042 Wachovia Capital Trust III (F) 5.800%, 03/15/11 2,230 2,215 Washington Mutual 4.625%, 04/01/14 3,180 2,896 4.000%, 01/15/09 746 733 Washington Mutual Preferred Funding (C) (F) 6.534%, 03/29/49 1,600 1,464 Wells Fargo 5.375%, 02/07/35 2,085 1,875 Wells Fargo Capital X 5.950%, 12/15/36 760 697 Westfield Capital (C) 4.375%, 11/15/10 303 292 Westfield Group (C) 5.400%, 10/01/12 1,355 1,339 Woodbourne Pass-Through Trust (C) (F) 6.920%, 10/08/07 2,500 2,512 ZFS Finance USA Trust I 6.150%, 12/15/10 750 742 ZFS Finance USA Trust II (C) (F) 6.450%, 12/15/65 772 746 Zions Bancorp 5.500%, 11/16/15 950 912 iStar Financial, Ser 1 + 5.875%, 03/15/16 795 712 -------------- 485,310 -------------- HEALTH CARE -- 0.8% Abbott Laboratories 5.875%, 05/15/16 1,515 1,529 Aetna 6.000%, 06/15/16 1,570 1,573 Astrazenca PLC 5.400%, 09/15/12 2,580 2,600 Bristol-Myers Squibb 5.875%, 11/15/36 340 324 Community Health Systems (C) (J) 8.875%, 07/15/15 1,070 1,099 Coventry Health Care 5.950%, 03/15/17 1,655 1,601 Davita 6.625%, 03/15/13 1,065 1,057 - -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) - -------------------------------------------------------------------------------- HCA 9.250%, 11/15/16 (C) $ 1,639 $ 1,741 9.125%, 11/15/14 (C) 230 243 7.500%, 11/06/33 (J) 3,380 2,721 6.500%, 02/15/16 (J) 749 637 6.250%, 02/15/13 119 105 5.750%, 03/15/14 3,090 2,592 HCA PIK (C) 9.625%, 11/15/16 50 53 Johnson & Johnson 5.550%, 08/15/17 1,350 1,371 Schering-Plough 6.550%, 09/15/37 1,255 1,285 Tenet Healthcare (J) 9.875%, 07/01/14 4,115 3,765 7.375%, 02/01/13 336 285 Teva Pharmaceutical Finance LLC 6.150%, 02/01/36 1,225 1,164 5.550%, 02/01/16 475 462 UnitedHealth Group (C) 6.000%, 06/15/17 860 859 WellPoint 6.800%, 08/01/12 (J) 1,000 1,065 5.875%, 06/15/17 1,125 1,117 5.250%, 01/15/16 465 445 Wyeth 6.950%, 03/15/11 4,140 4,339 5.950%, 04/01/37 2,680 2,586 -------------- 36,618 -------------- INDUSTRIALS -- 1.6% Air 2 US (C) 8.027%, 10/01/19 824 837 America West Airlines, Ser 1999-1 7.930%, 01/02/19 7,980 8,419 American Airlines, Ser 1999-1 7.024%, 10/15/09 3,630 3,686 Burlington Northern Santa Fe 6.750%, 07/15/11 1,610 1,697 Cedar Brakes I LLC (C) 8.500%, 02/15/14 1,457 1,570 Cedar Brakes II LLC (C) 9.875%, 09/01/13 2,646 2,948 Complete Production Services 8.000%, 12/15/16 1,005 994 Continental Airlines, Ser 1997, Cl1A 7.461%, 04/01/15 1,924 1,903 Continental Airlines, Ser 1997, Cl4A 6.900%, 01/02/18 1,770 1,810 Continental Airlines, Ser 1999-2 7.256%, 03/15/20 958 990 Continental Airlines, Ser A 5.983%, 04/19/22 1,700 1,647 - -------------------------------------------------------------------------------- 174 SEI Institutional Managed Trust / Annual Report / September 30, 2007 - -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) - -------------------------------------------------------------------------------- DRS Technologies 6.625%, 02/01/16 $ 505 $ 499 Delta Air Lines, Ser 2001-1 7.111%, 09/18/11 6,250 6,336 FedEx, Ser A3 8.400%, 03/23/10 556 584 General Electric 5.000%, 02/01/13 1,140 1,130 Hutchison Whampoa International (C) 7.450%, 11/24/33 1,240 1,394 L-3 Communications, Ser B 6.375%, 10/15/15 520 511 Service International 7.500%, 04/01/27 670 626 Systems 2001 Asset Trust (C) 6.664%, 09/15/13 1,435 1,513 Teekay 8.875%, 07/15/11 1,785 1,874 Tyco International Group 7.000%, 06/15/28 230 250 6.875%, 01/15/29 7,380 7,408 6.750%, 02/15/11 3,470 3,658 6.375%, 10/15/11 8,830 9,036 6.125%, 11/01/08 230 233 6.125%, 01/15/09 80 81 6.000%, 11/15/13 915 924 United Air Lines, Ser A-3 (H) (I) 8.390%, 01/21/11 579 -- United Technologies 6.500%, 06/01/09 2,365 2,415 Waste Management 7.125%, 12/15/17 5,305 5,597 7.100%, 08/01/26 1,710 1,788 -------------- 72,358 -------------- INFORMATION TECHNOLOGY -- 0.2% Corning 7.250%, 08/15/36 495 519 Electronic Data Systems 7.125%, 10/15/09 3,680 3,747 Freescale Semiconductor 8.875%, 12/15/14 280 270 NXP Funding LLC 9.500%, 10/15/15 365 340 7.875%, 10/15/14 110 106 Sungard Data Systems (J) 10.250%, 08/15/15 725 758 Xerox 6.750%, 02/01/17 240 246 5.500%, 05/15/12 1,125 1,114 -------------- 7,100 -------------- - -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) - -------------------------------------------------------------------------------- MATERIALS -- 0.3% CodelCo (C) 4.750%, 10/15/14 $ 960 $ 917 Freeport-McMoRan Copper & Gold 8.375%, 04/01/17 1,450 1,584 Georgia Gulf (J) 9.500%, 10/15/14 220 201 Graham Packaging 9.875%, 10/15/14 (J) 275 272 8.500%, 10/15/12 590 586 Lafarge 6.150%, 07/15/11 770 785 Lyondell Chemical 8.250%, 09/15/16 125 141 8.000%, 09/15/14 220 242 Potash of Saskatchewan 4.875%, 03/01/13 1,220 1,183 Steel Dynamics (C) 6.750%, 04/01/15 810 782 US Steel 6.050%, 06/01/17 245 234 Vale Overseas Ltd. 8.250%, 01/17/34 150 178 6.875%, 11/21/36 (J) 5,750 5,924 6.250%, 01/23/17 1,188 1,201 Westlake Chemicals (J) 6.625%, 01/15/16 610 580 Weyerhaeuser 6.750%, 03/15/12 370 384 -------------- 15,194 -------------- SOVEREIGN -- 0.7% Emirate of Abu Dhabi 5.500%, 08/02/12 3,300 3,358 Federal Republic of Brazil (J) 11.000%, 08/17/40 2,105 2,815 Quebec Province 5.125%, 11/14/16 2,560 2,561 Republic of Colombia 7.375%, 09/18/37 1,442 1,586 Republic of Italy 5.375%, 06/15/33 2,320 2,259 Republic of Panama 9.375%, 04/01/29 46 62 6.700%, 01/26/36 1,194 1,227 Russian Federation (G) 7.500%, 03/31/30 1,685 1,900 United Mexican States (J) 5.625%, 01/15/17 7,963 7,939 United Mexican States MTN, Ser A 7.500%, 04/08/33 176 209 6.750%, 09/27/34 (J) 6,237 6,783 5.875%, 01/15/14 790 813 -------------- 31,512 -------------- - -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Annual Report / September 30, 2007 175 SCHEDULE OF INVESTMENTS Core Fixed Income Fund (Continued) September 30, 2007 - -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) - -------------------------------------------------------------------------------- TELECOMMUNICATION SERVICES -- 1.2% AT&T 6.500%, 09/01/37 $ 1,380 $ 1,423 6.450%, 06/15/34 625 634 6.150%, 09/15/34 (J) 2,410 2,382 5.100%, 09/15/14 5,750 5,564 4.125%, 09/15/09 795 782 AT&T Mobility LLC 6.500%, 12/15/11 1,455 1,519 America Movil 6.375%, 03/01/35 1,192 1,170 BellSouth 6.000%, 11/15/34 850 818 4.750%, 11/15/12 170 165 British Telecom PLC 8.375%, 12/15/10 1,250 1,376 Cincinnati Bell 7.000%, 02/15/15 500 483 Citizens Communications 7.875%, 01/15/27 555 541 7.125%, 03/15/19 370 365 Deutsche Telekom International Finance 8.000%, 06/15/10 925 991 5.750%, 03/23/16 1,920 1,897 Embarq 7.995%, 06/01/36 615 655 France Telecom 8.500%, 03/01/31 530 681 7.750%, 03/01/11 1,125 1,209 Intelsat 9.000%, 06/15/16 75 77 Intelsat Bermuda Ltd. 9.250%, 06/15/16 325 337 Koninklijke 8.000%, 10/01/10 650 699 Level 3 Financing 9.250%, 11/01/14 690 680 New Cingular Wireless Services 8.125%, 05/01/12 1,595 1,769 New Jersey Bell Telephone 7.850%, 11/15/29 1,135 1,286 Qwest 7.500%, 10/01/14 2,130 2,215 5.625%, 11/15/08 430 430 Qwest Communications International (F) 9.058%, 11/11/07 1,090 1,101 Rogers Communications 6.375%, 03/01/14 1,915 1,935 Sprint Capital 8.750%, 03/15/32 1,100 1,261 8.375%, 03/15/12 3,430 3,777 6.900%, 05/01/19 100 100 6.125%, 11/15/08 1,485 1,496 - -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) - -------------------------------------------------------------------------------- Sprint Nextel 6.000%, 12/01/16 $ 600 $ 576 Telecom Italia Capital 6.200%, 07/18/11 (J) 1,730 1,773 5.250%, 11/15/13 to 10/01/15 880 852 4.950%, 09/30/14 1,250 1,182 Telefonica Emisiones 6.221%, 07/03/17 445 450 5.984%, 06/20/11 2,545 2,589 Telefonica Europe 7.750%, 09/15/10 1,925 2,056 Verizon Communications 5.500%, 04/01/17 475 465 Verizon New Jersey, Ser A 5.875%, 01/17/12 2,175 2,213 Verizon New York, Ser A 6.875%, 04/01/12 660 695 Vodafone Group PLC 5.625%, 02/27/17 1,780 1,730 5.350%, 02/27/12 400 399 Windstream 8.625%, 08/01/16 960 1,028 -------------- 55,826 -------------- UTILITIES -- 1.7% Allegheny Energy Supply (C) 8.250%, 04/15/12 890 954 Arizona Public Services 8.000%, 12/30/15 3,188 3,565 CMS Energy 6.550%, 07/17/17 750 727 Cogentrix Energy (C) 8.750%, 10/15/08 5,908 6,116 Commonwealth Edison 6.150%, 09/15/17 1,315 1,323 DPL 6.875%, 09/01/11 2,405 2,518 Detroit Edison, Ser A 6.625%, 06/01/36 990 1,034 Dominion Resources 5.700%, 09/17/12 3,270 3,281 4.750%, 12/15/10 1,895 1,868 4.125%, 02/15/08 810 806 Duke Energy Carolinas 6.250%, 01/15/12 1,875 1,941 5.625%, 11/30/12 4,000 4,055 Edison Mission Energy (C) 7.625%, 05/15/27 420 405 7.200%, 05/15/19 1,160 1,143 7.000%, 05/15/17 880 867 Exelon 5.625%, 06/15/35 2,720 2,436 - -------------------------------------------------------------------------------- 176 SEI Institutional Managed Trust / Annual Report / September 30, 2007 - -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) - -------------------------------------------------------------------------------- Exelon Generation LLC (C) 6.950%, 06/15/11 $ 1,825 $ 1,911 FPL Energy American Wind (C) 6.639%, 06/20/23 5,744 5,950 FirstEnergy, Ser B 6.450%, 11/15/11 1,905 1,969 FirstEnergy, Ser C 7.375%, 11/15/31 5,515 6,035 Florida Power 6.350%, 09/15/37 565 576 Intergas Finance (C) (J) 6.375%, 05/14/17 3,485 3,365 Midamerican Energy Holdings 6.500%, 09/15/37 395 399 6.125%, 04/01/36 905 879 NRG Energy 7.250%, 02/01/14 1,610 1,614 Nevada Power, Ser A 8.250%, 06/01/11 2,050 2,228 Nevada Power, Ser M 5.950%, 03/15/16 630 616 Pacific Gas & Electric 6.050%, 03/01/34 (J) 2,110 2,072 5.800%, 03/01/37 800 756 Pacificorp 6.250%, 10/15/37 960 959 Power Contract Financing (C) 6.256%, 02/01/10 2,375 2,410 Public Service Colorado 7.875%, 10/01/12 1,355 1,499 Southern California Edison 6.000%, 01/15/34 1,505 1,482 Swepco Capital Trust I (F) 5.250%, 10/01/43 4,255 4,254 TXU Energy 7.000%, 03/15/13 780 857 TXU, Ser P 5.550%, 11/15/14 540 435 TXU, Ser Q 6.500%, 11/15/24 1,320 1,058 TXU, Ser R (J) 6.550%, 11/15/34 4,955 3,886 -------------- 78,249 -------------- Total Corporate Obligations (Cost $984,114) ($ Thousands) 985,863 -------------- - -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) - -------------------------------------------------------------------------------- U.S. TREASURY OBLIGATIONS --15.2% U.S. Treasury Bonds 10.375%, 11/15/12 (J) $ 7,950 $ 8,011 8.875%, 02/15/19 (J) 4,397 5,983 8.125%, 08/15/19 (J) 7,039 9,169 7.500%, 11/15/16 (J) 3,162 3,841 6.625%, 02/15/27 (J) 2,742 3,332 6.250%, 08/15/23 to 05/15/30 (J) 23,602 27,258 6.125%, 11/15/27 (J) 25,376 29,363 5.375%, 02/15/31 (J) 6,923 7,411 5.250%, 02/15/29 2,670 2,799 5.000%, 05/15/37 (J) 4,086 4,191 4.500%, 03/31/12 to 02/15/36 (J) 95,445 95,906 3.875%, 04/15/29 (D) 4,600 5,841 3.625%, 04/15/28 (D) (J) 12,969 15,798 2.375%, 01/15/25 to 01/15/27 (D) (J) 28,617 28,875 2.000%, 01/15/26 (D) 672 641 U.S. Treasury Bonds TIPS (D) 3.375%, 01/15/12 364 382 2.500%, 07/15/16 (J) 17,679 18,008 2.375%, 04/15/11 (J) 27,890 28,071 2.000%, 07/15/14 (J) 15,294 15,088 1.875%, 07/15/15 (J) 17,692 17,223 0.875%, 04/15/10 88 85 U.S. Treasury Notes 5.125%, 05/15/16 (J) 34,934 36,400 5.000%, 07/31/08 600 604 4.875%, 10/31/08 to 02/15/12 (J) 85,486 87,958 4.875%, 06/30/12 1,022 1,051 4.750%, 01/31/12 to 02/15/37 (J) 61,397 62,364 4.625%, 11/15/09 to 07/31/12 (J) 7,000 7,096 4.625%, 12/31/11 10 10 4.500%, 11/15/10 to 09/30/11 (J) 28,435 28,823 4.500%, 05/15/17 1,806 1,796 4.250%, 11/15/14 (J) 19,057 18,874 4.250%, 08/15/15 1,313 1,294 4.125%, 08/31/12 (J) 17,313 17,248 4.000%, 04/15/10 (J) 14,750 14,751 3.875%, 09/15/10 (J) 14,910 14,852 3.750%, 05/15/08 (J) 1,070 1,067 3.625%, 07/15/09 (J) 19,470 19,359 3.625%, 05/15/13 554 537 3.500%, 02/15/10 (J) 3,310 3,272 3.500%, 11/15/09 24,934 24,692 U.S. Treasury STRIPS (A) (J) 5.573%, 11/15/21 43,310 21,444 3.938%, 08/15/19 19,165 10,762 -------------- Total U.S. Treasury Obligations (Cost $686,778) ($ Thousands) 701,530 -------------- - -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Annual Report / September 30, 2007 177 SCHEDULE OF INVESTMENTS Core Fixed Income Fund (Continued) September 30, 2007 - ------------------------------------------------------------------------------- Face Amount ($ Thousands)/ Market Value Description Notional Amount ($ Thousands)/Shares ($ Thousands) - ------------------------------------------------------------------------------- FOREIGN BONDS -- 0.2% Canadian Government 4.000%, 12/01/31 $ 797 $ 1,092 Deutsche Bundesrepublik 3.750%, 01/04/15 6,320 8,703 ICICI Bank Ltd. 6.375%, 04/30/22 960 900 -------------- Total Foreign Bonds (Cost $9,885) ($ Thousands) 10,695 -------------- PURCHASED SWAPTIONS -- 0.1% U.S. Swaption Call, Barclays 77,393 719 U.S. Swaption Call, Barclays 10,037 465 U.S. Swaption Call, Merrill Lynch 66,431 680 U.S. Swaption Call, Merrill Lynch 8,765 460 U.S. Swaption Put, Barclays 63,417 516 U.S. Swaption Put, Barclays 8,138 338 -------------- Total Purchased Swaptions (Cost $2,255) ($ Thousands) 3,178 -------------- CASH EQUIVALENTS** -- 18.1% Evergreen Select Money Market 303,032 303 Fund, Institutional Class, 5.290% SEI Daily Income Trust, Prime 107,330,050 107,330 Obligation Fund, Cl A, 5.350%++ SEI Liquidity Fund LP, 5.367%++ (K) 728,237,206 728,237 -------------- Total Cash Equivalents (Cost $835,870) ($ Thousands) 835,870 -------------- COMMERCIAL PAPER (A) -- 0.7% FINANCIALS -- 0.7% BNP Paribas 5.555%, 10/11/07 4,150 4,143 Societe Generale 5.565%, 10/09/07 18,065 18,043 UBS Finance 5.475%, 10/11/07 10,445 10,429 -------------- Total Commercial Paper (Cost $32,615) ($ Thousands) 32,615 -------------- CERTIFICATES OF DEPOSIT (F) (K) -- 0.1% JPMorgan Chase 8.750%, 11/28/07 2,152 2,089 7.590%, 12/28/07 1,960 1,832 -------------- Total Certificates of Deposit (Cost $4,014) ($ Thousands) 3,921 -------------- - ------------------------------------------------------------------------------- Face Amount ($ Thousands)/ Market Value Description Notional Amount ($ Thousands)/Contracts ($ Thousands) - ------------------------------------------------------------------------------- REPURCHASE AGREEMENTS (N) -- 6.7% Deutsche Bank Repo, 4.80%, dated 09/28/07, to be repurchased on 10/01/07, repurchase price $286,629,606 (collateralizd by a U.S. Government Obligation, par value $294,340,000, 4.40%, 11/21/07; with total market value $292,245,300) $ 286,515 $ 286,515 Lehman Brothers Repo, 4.75%, dated 09/28/07, to be repurchased on 10/01/07, repurchase price $22,994,098 (collateralizd by a U.S. Government Obligation, par value $22,465,000, 6.625%, 09/15/09; with total market value $23,444,699) 22,985 22,985 -------------- Total Repurchase Agreements (Cost $309,500) ($ Thousands) 309,500 -------------- Total Investments -- 137.5% (Cost $6,350,399) ($ Thousands) $ 6,344,505 ============== WRITTEN SWAPTIONS -- (0.1)% U.S. Swaption Call, Barclays (38,000) (1,090) U.S. Swaption Call, Merrill Lynch (33,000) (1,021) U.S. Swaption Put, Barclays (31,000) (794) -------------- Total Written Swaptions (Premiums Received $(2,255)) ($ Thousands) (2,905) -------------- WRITTEN OPTIONS -- (0.0)% December 2007 U.S. Ten Year Treasury Call, Expires 11/20/07, Strike $110.00 (345) (226) December 2007 U.S. Ten Year Treasury Put, Expires 11/20/07, Strike $105.00 (29) (2) March 2008 90 Day Euro Call, Expires 03/17/08, Strike $95.50 (309) (195) March 2008 90 Day Euro Call, Expires 03/17/08, Strike $95.75 (188) (78) March 2008 90 Day Euro Call, Expires 03/17/08, Strike $95.37 (162) (127) March 2008 90 Day Euro Put, Expires 03/17/08, Strike $95.37 (186) (98) March 2008 Edu8 Put, Expires 03/20/08, Strike Price $95.50 (337) (230) March 2008 Tyh8 Put, U.S. Ten Year Treasury Note Futures, Expires 02/22/08, Strike Price $107.00 (240) (206) - -------------------------------------------------------------------------------- 178 SEI Institutional Managed Trust / Annual Report / September 30, 2007 - -------------------------------------------------------------------------------- Market Value Description Contracts ($ Thousands) - -------------------------------------------------------------------------------- November 2007 Tyz8 Call, U.S. Ten Year Treasury Note Futures, Expires 11/20/07, Strike $112.00 (290) $ (59) -------------- Total Written Options (Premiums Received $(1,344)) ($ Thousands) (1,221) -------------- A summary of the open futures contracts held by the Fund at September 30, 2007, is as follows (see Note 2 in Notes to Financial Statements): - -------------------------------------------------------------------------------- UNREALIZED NUMBER OF APPRECIATION TYPE OF CONTRACTS EXPIRATION (DEPRECIATION) CONTRACT LONG (SHORT) DATE ($ THOUSANDS) - -------------------------------------------------------------------------------- 90-Day Euro$ 2,251 Mar-2008 $ 2,048 90-Day Euro$ 50 Mar-2009 112 90-Day Euro$ 45 Mar-2010 71 90-Day Euro$ (5) Mar-2011 (5) 90-Day Euro$ 764 Jun-2008 1,280 90-Day Euro$ 345 Jun-2009 333 90-Day Euro$ (270) Jun-2010 (78) 90-Day Euro$ (5) Jun-2011 (4) 90-Day Euro$ (16) Sep-2008 (28) 90-Day Euro$ 345 Sep-2009 271 90-Day Euro$ 3 Sep-2010 2 90-Day Euro$ 78 Dec-2007 30 90-Day Euro$ (354) Dec-2008 (460) 90-Day Euro$ 50 Dec-2009 85 90-Day Euro$ 11 Dec-2010 4 3-Month GBP 194 Mar-2008 159 10-Year Swap 42 Dec-2007 15 Eurx Euro-Bond 406 Dec-2007 (271) U.S. 5-Year Note 1,689 Dec-2007 1,381 U.S. 2-Year Note 476 Dec-2007 421 U.S. 10-Year Note (2,363) Dec-2007 (231) U.S. Long Treasury Bond 774 Dec-2007 (567) --------- $ 4,568 ========= A summary of the outstanding forward foreign currency contracts held by the Fund at September 30, 2007, is as follows (see Note 2 in Notes to Financial Statements): - -------------------------------------------------------------------------------- UNREALIZED CURRENCY CURRENCY APPRECIATION MATURITY TO DELIVER TO RECEIVE (DEPRECIATION) DATE (THOUSANDS) (THOUSANDS) ($ THOUSANDS) - -------------------------------------------------------------------------------- 11/7/07 EUR 20,545 USD 28,809 $ (433) 11/7/07 USD 16,633 JPY 1,981,542 679 --------- $ 246 ========= A summary of oustanding swap agreements held by the Fund at September 30, 2007, is as follows (see Note 2 in Notes to Financial Statements):
- -------------------------------------------------------------------------------------------------- TOTAL RETURN SWAPS - -------------------------------------------------------------------------------------------------- NET UNREALIZED NOTIONAL APPRECIATION EXPIRATION AMOUNT (DEPRECIATION) DESCRIPTION DATE ($ THOUSANDS) ($ THOUSANDS) - -------------------------------------------------------------------------------------------------- The Fund receives payment on the monthly reset spread from Bank of America--CMBS AAA 10 YR Index plus 30 basis points times the notional amount. The Fund receives payment if the return on the spread appreciates over the payment period and pays if the return on the spread depreciates over the payment period. (Counterparty: Bank of America) 01/31/08 $ 10,000 $ 35 The Fund receives payment on the monthly reset spread from Bank of America--CMBS AAA 10 YR Index plus 5 basis points times the notional amount. The Fund receives payment if the return on the spread appreciates over the pay- ment period and pays if the return on the spread depreciates over the payment period. (Counterparty: Bank of America) 01/31/08 10,000 35 - -------------------------------------------------------------------------------------------------- NET UNREALIZED NOTIONAL APPRECIATION EXPIRATION AMOUNT (DEPRECIATION) DESCRIPTION DATE ($ THOUSANDS) ($ THOUSANDS) - -------------------------------------------------------------------------------------------------- The Fund receives payment on the monthly reset spread from Bank of America--CMBS AAA 10 YR Index plus 20 basis points times the notional amount. The Fund receives payment if the return on the spread appreciates over the payment period and pays if the return on the spread depreciates over the payment period. (Counterparty: Bank of America) 10/02/07 $ 10,000 $ 34 The Fund receives payment on the monthly reset spread from Bank of America--CMBS A Index plus 20 basis points times the notional amount. The Fund receives payment if the return on the spread appreciates over the payment period and pays if the return on the spread depreciates over the payment period. (Counterparty: Bank of America) 01/31/08 21,000 (157) The Fund delivers payment on the monthly reset spread from Lehman Brothers--CMBS AAA 10 YR 8.5 Index plus 7.5 basis points times the notional amount. The Fund receives payment if the return on the spread appreciates over the payment period and pays if the return on the spread depreciates over the payment period. (Counterparty: Wachovia) 12/01/07 30,000 184 The Fund delivers payment on the monthly reset spread from Lehman Brothers--CMBS AAA 8.5 Index plus 12 basis points times the notional amount. The Fund receives payment if the return on the spread appreciates over the payment period and pays if the return on the spread depreciates over the payment period. (Counterparty: Merrill Lynch) 10/02/07 30,000 122 The Fund delivers payment on the monthly reset spread from Lehman Brothers--CMBS AAA 8.5 Index plus 17.5 basis points times the notional amount. The Fund receives payment if the return on the spread appreciates over the payment period and pays if the return on the spread depreciates over the payment period. (Counterparty: Wachovia) 11/01/07 30,000 185 --------------- $ 438 =============== - -------------------------------------------------------------------------------------------------- CREDIT DEFAULT SWAPS - -------------------------------------------------------------------------------------------------- NET UNREALIZED NOTIONAL APPRECIATION EXPIRATION AMOUNT (DEPRECIATION) DESCRIPTION DATE ($ THOUSANDS) ($ THOUSANDS) - -------------------------------------------------------------------------------------------------- Fund receives a monthly payment of 0.053% (0.64% per annum) times notional amount of ABX.HE.A 07-1 Index. Upon a defined credit event the Fund pays the notional amount and takes receipt of the deliverable obligation. (Counterparty: Merrill Lynch) 08/25/37 $ (1,500) $ (660) Fund receives a monthly payment of 0.324% (3.890% per annum) times notional amount of ABX.HE.BBB 07-1 Index. Upon a defined credit event the Fund pays the notional amount and takes receipt of the deliverable obligation. (Counterparty: Citigroup) 08/25/37 (3,721) (1,115) Fund delivers a monthly payment of 0.110% (1.3340% per annum) times notional amount of ABX.HE.BBB 06-2 Index. Upon a defined credit event the Fund pays the notional amount and takes receipt of the deliverable obligation. (Counterparty: Lehman Brothers) 05/25/46 2,444 1,067 Fund delivers a monthly payment of 0.110% (1.3340% per annum) times notional amount of ABX.HE.BBB 06-2 Index. Upon a defined credit event the Fund pays the notional amount and takes receipt of the deliverable obligation. (Counterparty: Lehman Brothers) 05/25/46 3,135 1,293 Fund receives a monthly payment of 0.324% (3.890% per annum) times notional amount of ABX.HE.BBB 07-1 Index. Upon a defined credit event the Fund pays the notional amount and takes receipt of the deliverable obligation. (Counterparty: Citigroup) 08/25/37 (2) --
- -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Annual Report / September 30, 2007 179 SCHEDULE OF INVESTMENTS Core Fixed Income Fund (Conrtinued) September 30, 2007
- -------------------------------------------------------------------------------------------------- NET UNREALIZED NOTIONAL APPRECIATION EXPIRATION AMOUNT (DEPRECIATION) DESCRIPTION DATE ($ THOUSANDS) ($ THOUSANDS) - -------------------------------------------------------------------------------------------------- Fund receives a monthly payment of 0.420% (4.167% per annum) times notional amount of ABX.HE.BBB 07-2 Index. Upon a defined credit event the Fund pays the notional amount and takes receipt of the deliverable obligation. (Counterparty: Lehman Brothers) 08/25/37 $ (4,167) $ (1,249) Fund receives a monthly payment of 0.417% (5.00% per annum) times notional amount of ABX.HE.BBB 07-2 Index. Upon a defined credit event the Fund pays the notional amount and takes receipt of the deliverable obligation. (Counterparty: Citigroup) 01/25/38 (1,750) (73) Fund receives a monthly payment of 0.0125% (0.150% per annum) times notional amount of ABX.HE.AA 07-2 Index. Upon a defined credit event the Fund pays the notional amount and takes receipt of the deliverable obligation. (Counterparty: Citigroup) 01/25/38 (3,560) (6) Fund receives a monthly payment of 0.16% (1.92% per annum) times notional amount of ABX.HE.AA 07-1 Index. Upon a defined credit event the Fund pays the notional amount and takes receipt of the deliverable obligation. (Counterparty: Citigroup) 08/25/37 (1,435) (51) Fund receives a monthly payment of 0.417% (5.000% per annum) times notional amount of ABX.HE.BBB 07-2 Index. Upon a defined credit event the Fund pays the notional amount and takes receipt of the deliverable obligation. (Counterparty: Lehman Brothers) 01/25/38 (7,000) (336) Fund receives a monthly payment of 0.16% (1.920% per annum) times notional amount of ABX.HE.AA 07-2 Index. Upon a defined credit event the Fund pays the notional amount and takes receipt of the deliverable obligation. (Counterparty: Citigroup) 01/25/38 (140) (7) Fund receives a monthly payment of 0.063% (0.76% per annum) times notional amount of ABX.HE.AA 07-1 Index. Upon a defined credit event the Fund pays the notional amount and takes receipt of the deliverable obligation. (Counterparty: Citigroup) 01/25/38 (140) (4) Fund receives a monthly payment of 0.063% (0.760% per annum) times notional amount of ABX.HE.AAA 07-2 Index. Upon a defined credit event the Fund pays the notional amount and takes receipt of the deliverable obligation. (Counterparty: Lehman Brothers) 01/25/38 (850) (8) Fund receives a monthly payment of 0.063% (0.76% per annum) times notional amount of ABX.HE.AAA 07-2 Index. Upon a defined credit event the Fund pays the notional amount and takes receipt of the deliverable obligation. (Counterparty: Citigroup) 01/25/38 (3,455) 118 Fund receives a monthly payment of 0.037% (0.440% per annum) times notional amount of ABX.HE.A 06-2 Index. Upon a defined credit event the Fund pays the notional amount and takes receipt of the deliverable obligation. (Counterparty: Citigroup) 01/25/38 (1,010) (11) Fund receives a monthly payment of 0.053% (0.64% per annum) times notional amount of ABX.HE.A 07-1 Index. Upon a defined credit event the Fund pays the notional amount and takes receipt of the deliverable obligation. (Counterparty: JPMorgan Chase) 08/25/37 (3,000) (1,296) Fund receives a monthly payment of 0.053% (0.64% per annum) times notional amount of ABX.HE.A 07-1 Index. Upon a defined credit event the Fund pays the notional amount and takes receipt of the deliverable obligation. (Counterparty: Merrill Lynch) 08/25/37 (800) (333) Fund receives a monthly payment of 0.037% (0.440% per annum) times notional amount of ABX.HE.A 06-2 Index. Upon a defined credit event the Fund pays the notional amount and takes receipt of the deliverable obligation. (Counterparty: Merrill Lynch) 05/25/46 (7,800) (2,060) - -------------------------------------------------------------------------------------------------- NET UNREALIZED NOTIONAL APPRECIATION EXPIRATION AMOUNT (DEPRECIATION) DESCRIPTION DATE ($ THOUSANDS) ($ THOUSANDS) - -------------------------------------------------------------------------------------------------- Fund receives a monthly payment of 0.0142% (0.170% per annum) times notional amount of ABX.HE.AA 06-2 Index. Upon a defined credit event the Fund pays the notional amount and takes receipt of the deliverable obligation. (Counterparty: Wachovia) 05/25/46 $ (2,570) $ 321 Fund receives a monthly payment of 0.0142% (0.170% per annum) times notional amount of ABX.HE.AA 06-2 Index. Upon a defined credit event the Fund pays the notional amount and takes receipt of the deliverable obligation. (Counterparty: Merrill Lynch) 05/25/46 (3,200) 292 Fund receives a monthly payment of 0.0142% (0.170% per annum) times notional amount of ABX.HE.AA 06-2 Index. Upon a defined credit event the Fund pays the notional amount and takes receipt of the deliverable obligation. (Counterparty: Merrill Lynch) 05/25/46 (3,200) 284 Fund receives a monthly payment of 0.0142% (0.170% per annum) times notional amount of ABX.HE.AA 06-2 Index. Upon a defined credit event the Fund pays the notional amount and takes receipt of the deliverable obligation. (Counterparty: Bank of America) 05/25/46 (7,500) 534 Fund receives a monthly payment of 0.0125% (0.150% per annum) times notional amount of ABX.HE.AA 07-1 Index. Upon a defined credit event the Fund pays the notional amount and takes receipt of the deliverable obligation. (Counterparty: Bank of America) 08/25/37 (3,500) 57 Fund receives a monthly payment of 0.053% (0.640% per annum) times notional amount of ABX.HE.A 07-1 Index. Upon a defined credit event the Fund pays the notional amount and takes receipt of the deliverable obligation. (Counterparty: Merrill Lynch) 08/25/37 (13,500) (5,472) Fund receives a monthly payment of 0.053% (0.640% per annum) times notional amount of ABX.HE.A 07-1 Index. Upon a defined credit event the Fund pays the notional amount and takes receipt of the deliverable obligation. (Counterparty: Barclays) 07/25/45 (4,150) (1,292) Fund receives a monthly payment of 0.053% (0.640% per annum) times notional amount of ABX.HE.A 07-1 Index. Upon a defined credit event the Fund pays the notional amount and takes receipt of the deliverable obligation. (Counterparty: Merrill Lynch) 08/25/37 (4,000) (1,243) Fund receives a monthly payment of 0.0125% (0.150% per annum) times notional amount of ABX.HE.AA 07-1 Index. Upon a defined credit event the Fund pays the notional amount and takes receipt of the deliverable obligation. (Counterparty: JPMorgan Chase) 08/25/37 (25,700) (678) Fund receives a monthly payment of 0.0125% (0.150% per annum) times notional amount of ABX.HE.AA 07-1 Index. Upon a defined credit event the Fund pays the notional amount and takes receipt of the deliverable obligation. (Counterparty: JPMorgan Chase) 08/25/37 (13,100) (182) Fund receives a monthly payment of 0.0142% (0.170% per annum) times notional amount of ABX.HE.AA 06-2 Index. Upon a defined credit event the Fund pays the notional amount and takes receipt of the deliverable obligation. (Counterparty: Wachovia) 05/25/46 (1,300) 136 Fund receives a monthly payment of 0.045% (0.540% per annum) times notional amount of ABX.HE.A 06-1 Index. Upon a defined credit event the Fund pays the notional amount and takes receipt of the deliverable obligation. (Counterparty: Deutsche Bank) 07/25/45 (2,100) (216) Fund pays a quarterly payment of 0.1113% (0.445% per annum) times notional amount of Darden Restauants, Inc., 7.125%, 02/01/16. Upon a defined credit event the Fund receives the notional amount and delivers of the defined obligation. (Counterparty: Bank of America) 12/20/11 2,250 (9)
- -------------------------------------------------------------------------------- 180 SEI Institutional Managed Trust / Annual Report / September 30, 2007
- -------------------------------------------------------------------------------------------------- NET UNREALIZED NOTIONAL APPRECIATION EXPIRATION AMOUNT (DEPRECIATION) DESCRIPTION DATE ($ THOUSANDS) ($ THOUSANDS) - -------------------------------------------------------------------------------------------------- Fund pays a quarterly payment of 0.115% (0.460% per annum) times notional amount of Autozone, Inc., 5.875%, 10/15/12. Upon a defined credit event the Fund receives the notional amount and delivers of the defined obligation. (Counterparty: JPMorgan Chase) 12/20/11 $ 2,125 $ (17) Fund pays a quarterly payment of 0.1063% (0.425% per annum) times notional amount of Eastman Chemical, inc., 7.600%, 02/01/27. Upon a defined credit event the Fund receives the notional amount and delivers of the defined obligation. (Counterparty: Bank of America) 12/20/11 2,250 (14) Fund pays a quarterly payment of 0.055% (0.220% per annum) times notional amount of Nucor Corp., 4.875%, 12/01/12. Upon a defined credit event the Fund receives the notional amount and delivers of the defined obligation. (Counterparty: JPMorgan Chase) 12/20/11 2,125 (5) Fund pays a quarterly payment of 0.2950% (1.180% per annum) times notional amount of Gap, Inc., 8.800%, 12/15/08. Upon a defined credit event the Fund receives the notional amount and delivers of the defined obligation. (Counterparty: Bank of America) 12/20/11 2,125 (36) Fund pays a quarterly payment of 0.1188% (0.475% per annum) times notional amount of Meadwestavaco Corp., 6.850%, 04/01/12. Upon a defined credit event the Fund receives the notional amount and delivers of the defined obligation. (Counterparty: Bank of America) 12/20/11 2,250 4 Fund pays a quarterly payment of 0.055% (0.220% per annum) times notional amount of Nucor Corp., 4.875%, 12/01/12. Upon a defined credit event the Fund receives the notional amount and delivers of the defined obligation. (Counterparty: Bank of America) 12/20/11 2,125 (5) Fund pays a quarterly payment of 0.0475% (0.190% per annum) times notional amount of TJX Companies, 7.450%, 12/15/09. Upon a defined credit event the Fund receives the notional amount and delivers of the defined obligation. (Counterparty: Bank of America) 12/20/11 2,250 -- Fund pays a quarterly payment of 0.1125% (0.450% per annum) times notional amount of Weyerhaeuser Company, 6.750%, 03/15/12. Upon a defined credit event the Fund receives the notional amount and delivers of the defined obligation. (Counterparty: Bank of America) 12/20/11 2,125 6 Fund pays a quarterly payment of 0.085% (0.340% per annum) times notional amount of Agrium, Inc., 8.250%, 02/15/11. Upon a defined credit event the Fund receives the notional amount and delivers of the defined obligation. (Counterparty: JPMorgan Chase) 12/20/11 2,250 (14) Fund pays a quarterly payment of 0.1375% (0.550% per annum) times notional amount of Black & Decker Corp., 7.125%, 06/01/11. Upon a defined credit event the Fund receives the notional amount and delivers of the defined obligation. (Counterparty: JPMorgan Chase) 12/20/11 2,125 (19) Fund pays a quarterly payment of 0.295% (1.180% per annum) times notional amount of Gap, Inc., 8.800%, 12/15/08. Upon a defined credit event the Fund receives the notional amount and delivers of the defined obligation. (Counterparty: JPMorgan Chase) 12/20/11 2,250 (34) Fund pays a quarterly payment of 0.0975% (0.390% per annum) times notional amount of Hasbro, inc., 2.750%, 12/01/21. Upon a defined credit event the Fund receives the notional amount and delivers of the defined obligation. (Counterparty: JPMorgan Chase) 12/20/11 2,250 16 Fund pays a quarterly payment of 0.1375% (0.550% per annum) times notional amount of Black & Decker Corp., 7.125%, 06/01/11. Upon a defined credit event the Fund receives the notional amount and delivers of the defined obligation. (Counterparty: Bank of America) 12/20/11 2,125 (19) - -------------------------------------------------------------------------------------------------- NET UNREALIZED NOTIONAL APPRECIATION EXPIRATION AMOUNT (DEPRECIATION) DESCRIPTION DATE ($ THOUSANDS) ($ THOUSANDS) - -------------------------------------------------------------------------------------------------- Fund pays a quarterly payment of 0.1188% (0.475% per annum) times notional amount of The Limited, Inc., 6.125%, 12/01/12. Upon a defined credit event the Fund receives the notional amount and delivers of the defined obligation. (Counterparty: Bank of America) 12/20/11 $ 2,250 $ 18 Fund pays a quarterly payment of 0.1925% (0.770% per annum) times notional amount of Jones Apparel Group, 5.125%, 11/15/14. Upon a defined credit event the Fund receives the notional amount and delivers of the defined obligation. (Counterparty: JPMorgan Chase) 12/20/11 2,250 46 Fund pays a quarterly payment of 0675% (0.270% per annum) times notional amount of Southwest Airlines Co., 6.500%, 03/01/12. Upon a defined credit event the Fund receives the notional amount and delivers of the defined obligation. (Counterparty: JPMorgan Chase) 12/20/11 2,250 3 Fund pays a quarterly payment of 0.1125% (0.450% per annum) times notional amount of Lubrizol Corp., 7.250%, 06/15/35. Upon a defined credit event the Fund receives the notional amount and delivers of the defined obligation. (Counterparty: JPMorgan Chase) 12/20/11 2,125 (13) Fund pays a quarterly payment of 0.050% (0.200% per annum) times notional amount of PPG Industries, Inc., 7.050%, 08/15/09. Upon a defined credit event the Fund receives the notional amount and delivers of the defined obligation. (Counterparty: JPMorgan Chase) 12/20/11 2,250 (1) Fund pays a quarterly payment of 0.0845% (0.338% per annum) times notional amount of Whirlpool Corp., 7.750%, 07/15/16. Upon a defined credit event the Fund receives the notional amount and delivers of the defined obligation. (Counterparty: JPMorgan Chase) 12/20/11 2,250 (3) Fund pays a quarterly payment of 0.0325% (0.130% per annum) times notional amount of Lowe's Companies, Inc., 8.250%, 06/01/10. Upon a defined credit event the Fund receives the notional amount and delivers of the defined obligation. (Counterparty: Merrill Lynch) 12/20/11 2,250 7 Fund pays a quarterly payment of 0.0675% (0.270% per annum) times notional amount of Southwest Airlines Co., 6.500%, 03/01/12. Upon a defined credit event the Fund receives the notional amount and delivers of the defined obligation. (Counterparty: Merrill Lynch) 12/20/11 2,125 3 Fund pays a quarterly payment of 0.1125% (0.450% per annum) times notional amount of Lubrizol Corp., 7.250%, 06/15/35. Upon a defined credit event the Fund receives the notional amount and delivers of the defined obligation. (Counterparty: Merrill Lynch) 12/20/11 2,125 (13) Fund pays a quarterly payment of 0.225% (0.900% per annum) times notional amount of MDC Holdings, Inc., 5.500%, 05/15/13. Upon a defined credit event the Fund receives the notional amount and delivers of the defined obligation. (Counterparty: Merrill Lynch) 12/20/11 2,250 22 Fund pays a quarterly payment of 0.1725% (0.690% per annum) times notional amount of Donnelley (R.R.) & Sons, 4.950%, 04/01/14. Upon a defined credit event the Fund receives the notional amount and delivers of the defined obligation. (Counterparty: Merrill Lynch) 12/20/11 2,250 (30) Fund pays a quarterly payment of 0.035% (0.140% per annum) times notional amount of Pitney Bowes, Inc., 4.625%, 10/01/12. Upon a defined credit event the Fund receives the notional amount and delivers of the defined obligation. (Counterparty: Bank of America) 12/20/11 4,500 (3) Fund pays a quarterly payment of 0.110% (0.440% per annum) times notional amount of Autozone, Inc., 5.875%, 10/15/12. Upon a defined credit event the Fund receives the notional amount and delivers of the defined obligation. (Counterparty: Bank of America) 12/20/11 2,125 (15)
- -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Annual Report / September 30, 2007 181 SCHEDULE OF INVESTMENTS Core Fixed Income Fund (Continued) September 30, 2007
- -------------------------------------------------------------------------------------------------- NET UNREALIZED NOTIONAL APPRECIATION EXPIRATION AMOUNT (DEPRECIATION) DESCRIPTION DATE ($ THOUSANDS) ($ THOUSANDS) - -------------------------------------------------------------------------------------------------- Fund pays a quarterly payment of 0.1825% (0.730% per annum) times notional amount of Masco Corp., 5.875%, 07/15/12. Upon a defined credit event the Fund receives the notional amount and delivers of the defined obligation. (Counterparty: Bank of America) 12/20/13 $ 2,250 $ 14 Fund pays a quarterly payment of 0.0625% (0.260% per annum) times notional amount of Dow Chemical, Inc., 6.000%, 10/01/12. Upon a defined credit event the Fund receives the notional amount and delivers of the defined obligation. (Counterparty: JPMorgan Chase) 12/20/13 2,125 8 Fund pays a quarterly payment of 0.0875% (0.350% per annum) times notional amount of MGIC Investment Corp., 6.000%, 03/15/07. Upon a defined credit event the Fund receives the notional amount and delivers of the defined obligation. (Counterparty: Bank of America) 12/20/13 2,125 121 Fund pays a quarterly payment of 0.0875% (0.350% per annum) times notional amount of PMI Group, Inc., 6.000%, 09/15/16. Upon a defined credit event the Fund receives the notional amount and delivers of the defined obligation. (Counterparty: Bank of America) 12/20/13 2,125 94 Fund pays a quarterly payment of 0.0975% (0.390% per annum) times notional amount of Radian Group, Inc., 7.750%, 06/01/11. Upon a defined credit event the Fund receives the notional amount and delivers of the defined obligation. (Counterparty: Bank of America) 12/20/13 2,125 303 Fund pays a quarterly payment of 0.070% (0.280% per annum) times notional amount of Nordstrom, Inc., 6.950%, 03/15/28. Upon a defined credit event the Fund receives the notional amount and delivers of the defined obligation. (Counterparty: JPMorgan Chase) 12/20/13 2,125 -- Fund pays a quarterly payment of 0.0875% (0.350% per annum) times notional amount of MGIC Investment Corp., 6.000%, 03/15/07. Upon a defined credit event the Fund receives the notional amount and delivers of the defined obligation. (Counterparty: JPMorgan Chase) 12/20/13 2,125 94 Fund pays a quarterly payment of 0.0875% (0.350% per annum) times notional amount of PMI Group, Inc., 6.000%, 09/15/16. Upon a defined credit event the Fund receives the notional amount and delivers of the defined obligation. (Counterparty: JPMorgan Chase) 12/20/13 2,125 121 Fund pays a quarterly payment of 0.0975% (0.390% per annum) times notional amount of Radian Group, Inc., 7.750%, 06/01/11. Upon a defined credit event the Fund receives the notional amount and delivers of the defined obligation. (Counterparty: JPMorgan Chase) 12/20/13 2,250 (4) Fund pays a quarterly payment of 0.070% (0.280% per annum) times notional amount of Nordstrom, Inc., 6.950%, 03/15/28. Upon a defined credit event the Fund receives the notional amount and delivers of the defined obligation. (Counterparty: Merrill Lynch) 12/20/13 2,125 -- Fund pays a quarterly payment of 0.0975% (0.390% per annum) times notional amount of Johnson Controls, inc., 7.125%, 07/15/17. Upon a defined credit event the Fund receives the notional amount and delivers of the defined obligation. (Counterparty: Bank of America) 12/20/13 2,125 (14) Fund pays a quarterly payment of 0.0875% (0.350% per annum) times notional amount of Alcan, Inc., 4.875%, 09/15/12. Upon a defined credit event the Fund receives the notional amount and delivers of the defined obligation. (Counterparty: Bank of America) 12/20/13 2,125 (10) Fund pays a quarterly payment of 0.0925% (0.370% per annum) times notional amount of Johnson Controls, Inc., 7.125%, 07/15/17. Upon a defined credit event the Fund receives the notional amount and delivers of the defined obligation. (Counterparty: Bank of America) 12/20/13 2,125 (12) - -------------------------------------------------------------------------------------------------- NET UNREALIZED NOTIONAL APPRECIATION EXPIRATION AMOUNT (DEPRECIATION) DESCRIPTION DATE ($ THOUSANDS) ($ THOUSANDS) - -------------------------------------------------------------------------------------------------- Fund pays a quarterly payment of 0.0625% (0.250% per annum) times notional amount of Dow Chemical, Inc., 6.000%, 10/01/12. Upon a defined credit event the Fund receives the notional amount and delivers of the defined obligation. (Counterparty: Merrill Lynch) 12/20/13 $ 2,125 $ 9 Fund pays a quarterly payment of 0.0538% (0.215% per annum) times notional amount of Carnival Corp., 6.650%, 01/15/28. Upon a defined credit event the Fund receives the notional amount and delivers of the defined obligation. (Counterparty: JPMorgan Chase) 06/20/12 1,600 9 Fund pays a quarterly payment of 0.500% (0.200% per annum) times notional amount of Campbell Soup Co., 4.875%, 10/01/13. Upon a defined credit event the Fund receives the notional amount and delivers of the defined obligation. (Counterparty: Bank of America) 06/20/14 2,775 5 Fund receives a quarterly payment of 0.110% (0.440% per annum) times notional amount of Dow Chemical, Inc., 6.000%, 10/01/12. Upon a defined credit event the Fund delivers the notional amount and takes receipt of the defined obligation. (Counterparty: Merrill Lynch) 12/20/11 (4,250) 38 Fund pays a quarterly payment of 0.1125% (0.450% per annum) times notional amount of Weyerhaeuser Company, 6.750%, 03/15/12. Upon a defined credit event the Fund receives the notional amount and delivers of the defined obligation. (Counterparty: Merrill Lynch) 03/20/12 2,125 9 Fund pays a quarterly payment of 0.080% (0.320% per annum) times notional amount of Alcan, Inc., 4.875%, 09/15/12. Upon a defined credit event the Fund receives the notional amount and delivers of the defined obligation. (Counterparty: Bank of America) 03/20/14 1,800 (4) Fund pays a quarterly payment of 0.450% (5.400% per annum) times notional amount of AMBAC Monoline Supplement. Upon a defined credit event the Fund receives the notional amount and delivers of the defined obligation. (Counterparty: JPMorgan Chase) 09/20/12 2,700 89 Fund pays a quarterly payment of 0.450% (5.400% per annum) times notional amount of AMBAC Monoline Supplement. Upon a defined credit event the Fund receives the notional amount and delivers of the defined obligation. (Counterparty: Merrill Lynch) 09/20/12 1,500 56 Fund pays a quarterly payment of 0.450% (5.400% per annum) times notional amount of AMBAC Monoline Supplement. Upon a defined credit event the Fund receives the notional amount and delivers of the defined obligation. (Counterparty: JPMorgan Chase) 12/20/12 425 18 Fund pays a quarterly payment of 0.450% (5.400% per annum) times notional amount of AMBAC Monoline Supplement. Upon a defined credit event the Fund receives the notional amount and delivers of the defined obligation. (Counterparty: JPMorgan Chase) 12/20/12 6,250 284 Fund pays a quarterly payment of 0.288% (1.15% per annum) times notional amount of AMBAC Monoline Supplement. Upon a defined credit event the Fund receives the notional amount and delivers of the defined obligation. (Counterparty: JPMorgan Chase) 12/20/12 1,450 65 Fund pays a quarterly payment of 0.375% (1.50% per annum) times notional amount of AMBAC Monoline Supplement. Upon a defined credit event the Fund receives the notional amount and delivers of the defined obligation. (Counterparty: Barclays) 12/20/12 3,000 222 Fund pays a quarterly payment of 0.613% (2.42% per annum) times notional amount of AMBAC Monoline Supplement. Upon a defined credit event the Fund receives the notional amount and delivers of the defined obligation. (Counterparty: Merrill Lynch) 09/20/12 1,450 37
- -------------------------------------------------------------------------------- 182 SEI Institutional Managed Trust / Annual Report / September 30, 2007
- -------------------------------------------------------------------------------------------------- NET UNREALIZED NOTIONAL APPRECIATION EXPIRATION AMOUNT (DEPRECIATION) DESCRIPTION DATE ($ THOUSANDS) ($ THOUSANDS) - -------------------------------------------------------------------------------------------------- Fund pays a quarterly payment of 0.638% (2.552% per annum) times notional amount of AMBAC Monoline Supplement. Upon a defined credit event the Fund receives the notional amount and delivers of the defined obligation. (Counterparty: Merrill Lynch) 09/20/12 $ 1,450 $ 36 Fund pays a quarterly payment of 0.313% (1.252% per annum) times notional amount of AMBAC Assurance, 9.375%, 08/01/11. Upon a defined credit event the Fund receives the notional amount and delivers of the defined obligation. (Counterparty: JPMorgan Chase) 12/20/12 3,125 190 Fund pays a quarterly payment of 0.225% (0.900% per annum) times notional amount of MBI Monoline Supplement. Upon a defined credit event the Fund receives the notional amount and delivers of the defined obligation. (Counterparty: JPMorgan Chase) 12/20/12 2,750 131 Fund receives a quarterly payment of 0.100% (0.400% per annum) times notional amount of CDX.NA.IG Index. Upon a defined credit event the Fund pays the notional amount and takes receipt of the deliverable obligation. (Counterparty: Bank of America) 12/20/11 (40,100) (156) Fund receives a quarterly payment of 0.100% (0.400% per annum) times notional amount of CDX.NA.IG Index. Upon a defined credit event the Fund pays the notional amount and takes receipt of the deliverable obligation. (Counterparty: Bank of America) 12/20/11 (2,400) (22) Fund receives a quarterly payment of 0.100% (0.400% per annum) times notional amount of CDX.NA.IG Index. Upon a defined credit event the Fund pays the notional amount and takes receipt of the deliverable obligation. (Counterparty: Bank of America) 12/20/11 (1,600) (14) Fund receives a quarterly payment of 0.100% (0.400% per annum) times notional amount of CDX.NA.IG Index. Upon a defined credit event the Fund pays the notional amount and takes receipt of the deliverable obligation. (Counterparty: Bank of America) 12/20/11 (2,125) (23) Fund receives a quarterly payment of 0.100% (0.400% per annum) times notional amount of CDX.NA.IG Index. Upon a defined credit event the Fund pays the notional amount and takes receipt of the deliverable obligation. (Counterparty: Merrill Lynch) 12/20/11 (1,800) (6) Fund receives a quarterly payment of 0.100% (0.400% per annum) times notional amount of CDX.NA.IG Index. Upon a defined credit event the Fund pays the notional amount and takes receipt of the deliverable obligation. (Counterparty: Merrill Lynch) 12/20/11 (10,875) (40) Fund receives a quarterly payment of 0.100% (0.400% per annum) times notional amount of CDX.NA.IG Index. Upon a defined credit event the Fund pays the notional amount and takes receipt of the deliverable obligation. (Counterparty: Merrill Lynch) 12/20/11 (40,100) (156) Fund pays a quarterly payment of 0.050% (0.200% per annum) times notional amount of PPG Industries, Inc., 7.050%, 08/15/09. Upon a defined credit event the Fund receives the notional amount and delivers the defined obligation. (Counterparty: JP Morgan Chase) 12/20/11 2,250 (1) --------------- $ (10,824) =============== - -------------------------------------------------------------------------------------------------- INTEREST RATE SWAPS - -------------------------------------------------------------------------------------------------- NET UNREALIZED NOTIONAL APPRECIATION EXPIRATION AMOUNT (DEPRECIATION) DESCRIPTION DATE ($ THOUSANDS) ($ THOUSANDS) - -------------------------------------------------------------------------------------------------- Receives fixed rate of 4.58% and pay floating rate, rate based on 3 Month LIBOR. (Counterparty: Citigroup) 11/15/09 $ 4,270 $ 12 - -------------------------------------------------------------------------------------------------- NET UNREALIZED NOTIONAL APPRECIATION EXPIRATION AMOUNT (DEPRECIATION) DESCRIPTION DATE ($ THOUSANDS) ($ THOUSANDS) - -------------------------------------------------------------------------------------------------- Pays fixed rate of 4.524% and receives floating rate, rate based on 5Y5Y Swaption Straddle. (Counterparty: Lehman Brothers) 05/24/17 $ 5,110 $ 179 Pays fixed rate of 4.650% and receives floating rate, rate based on 5Y5Y Swaption Straddle. (Counterparty: Lehman Brothers) 05/18/17 9,000 226 Receives fixed rate of 5.043% and pay floating rate, rate based on 3 Month LIBOR. (Counterparty: Merrill Lynch) 11/30/09 3,090 32 Receives fixed rate of 5.135% and pay floating rate, rate based on 3 Month LIBOR. (Counterparty: Lehman Brothers) 11/30/09 3,090 38 Receives fixed rate of 7.160% and pay floating rate, rate based on 3 Month LIBOR. (Counterparty: Lehman Brothers) 05/25/22 4,500 -- Receives fixed rate of 7.880% and pay floating rate, rate based on 3 Month LIBOR. (Counterparty: Lehman Brothers) 06/04/22 3,130 (21) Receives fixed rate of 7.910% and pay floating rate, rate based on 3 Month LIBOR. (Counterparty: Lehman Brothers) 06/12/22 3,000 (6) Receives fixed rate of 8.250% and pay floating rate, rate based on 3 Month LIBOR. (Counterparty: Citigroup) 08/21/22 2,780 63 Receives fixed rate of 4.8125% and pay floating rate, rate based on 3 Month LIBOR. (Counterparty: Merrill Lynch) 11/15/09 4,300 8 -------------- $ 531 ==============
Percentages are based on Net Assets of $4,613,519 ($ Thousands). * Term Loan. ** Rate shown is the 7-day effective yield as of September 30, 2007. + Real Estate Investment Trust. ++ Investment in Affiliated Security (see Note 3). (A) The rate reported is the effective yield at time of purchase. (B) Security, or portion thereof, has been pledged as collateral on open futures contracts. (C) Securities sold within terms of a private placement memorandum, exempt from registration under Section 144A of the Securities Act of 1933, as amended, and may be sold only to dealers in that program or other "accredited investors." These securities have been determined to be liquid under guidelines established by the Board of Trustees. (D) Treasury Inflation Index Notes. (E) Zero Coupon Bond -- The rate reported on the Schedule of Investments is the effective yield at time of purchase. (F) Variable Rate Security -- The rate reported on the Schedule of Investments is the rate in effect as of September 30, 2007. The date reported on the Schedule of Investments is the next reset date. (G) Step Bonds -- The rate reflected on the Schedule of Investments is the effective yield on September 30, 2007. The coupon on a step bond changes on a specified date. (H) Securities considered illiquid. The total market value of such securities as of September 30, 2007 was $3,988 ($ Thousands) and represented 0.09% of Net Assets. (I) Security in default on interest payments. (J) This security or a partial position of this security is on loan at September 30, 2007 (see Note 7). The total market value of securities on loan at September 30, 2007 was $721,687 ($ Thousands). (K) This security was purchased with cash collateral held from securities on loan (see Note 7). The total market value of such securities as of September 30, 2007 was $749,397 ($ Thousands). (L) The note accrues 9.65% annual coupon for any day that the 3-year swap rate exceeds the 1-year swap rate by 22 or more basis points. (M) The note accrues 12.50% annual coupon for any day that the 5-year swap rate exceeds the 2-year swap rate by 30 or more basis points. (N) Tri-Party Repurchase Agreement. ABS -- Asset-Backed Security ARM -- Adjustable Rate Mortgage CDO -- Collateralized Debt Obligation Cl -- Class CMBS -- Commercial Mortgage-Backed Securities CMO -- Collateralized Mortgage Obligation DN -- Discount Note EUR -- Euro - -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Annual Report / September 30, 2007 183 SCHEDULE OF INVESTMENTS Core Fixed Income Fund (Concluded) September 30, 2007 - -------------------------------------------------------------------------------- Description - -------------------------------------------------------------------------------- EXL -- Extendable Maturity FFCA -- Federal Farm Credit Association FHLB -- Federal Home Loan Bank FHLMC -- Federal Home Loan Mortgage Corporation FICO -- Fair Isaac Corporation FNMA -- Federal National Mortgage Association GMAC -- General Motors Acceptance Corporation GNMA -- Government National Mortgage Association IO -- Interest Only JPY -- Japanese Yen LLC -- Limited Liability Company LP -- Limited Partnership Ltd. -- Limited MTN -- Medium Term Note NIM -- Net Interest Margin PIK -- Payment-in-Kind PLC -- Public Limited Company Ser -- Series STRIPS -- Separately Traded Registered Interest and Principal Securities TBA -- To Be Announced TIPS -- Treasury Inflated Protection Securities USD -- United States Dollar Amounts designated as "--" are $0 or have been rounded to $0. The accompanying notes are an integral part of the financial statements. - -------------------------------------------------------------------------------- 184 SEI Institutional Managed Trust / Annual Report / September 30, 2007 High Yield Bond Fund September 30, 2007 - -------------------------------------------------------------------------------- SECTOR WEIGHTINGS# (UNAUDITED): [THE FOLLOWING TABLE WAS REPRESENTED BY A BAR CHART IN THE PRINTED MATERIAL.] 18.8% Consumer Discretionary 18.0% Short-Term Investments 8.3% Telecommunication Services 7.7% Loan Participants 7.6% Materials 7.5% Industrials 7.0% Financials 6.4% Energy 4.8% Collateralized Loan Obligations 3.9% Health Care 3.1% Information Technology 2.7% Consumer Staples 2.2% Utilities 1.2% Collateralized Debt Obligations 0.3% Preferred Stock 0.3% Common Stock 0.1% Convertible Bonds 0.1% Asset-Backed Security 0.0% Warrants # Percentages based on total investments. Includes investments held as collateral for securities on loan (see Note 7). - -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) - -------------------------------------------------------------------------------- CORPORATE OBLIGATIONS -- 77.3% CONSUMER DISCRETIONARY -- 21.6% Adelphia Communications (escrow security) 10.250%, 06/15/11 $ 150 $ 26 7.750%, 01/15/09 225 36 Adelphia Communications, Ser B PIK (escrow security) (F) 9.500%, 02/15/04 25 4 American Casino & Entertainment 7.850%, 02/01/12 50 51 American Greetings 7.375%, 06/01/16 525 509 Amscan Holdings 8.750%, 05/01/14 835 772 Aramark Services (G) 8.856%, 11/22/07 (D) 350 354 8.500%, 02/01/15 2,600 2,652 Arvinmeritor (G) 8.750%, 03/01/12 1,790 1,826 Asbury Automotive Group (A) 7.625%, 03/15/17 150 138 Autonation (D) 7.360%, 10/15/07 930 888 Avis Budget Car Rental 8.058%, 11/15/07 (D) 965 941 7.750%, 05/15/16 250 245 Beazer Homes USA (G) 8.625%, 05/15/11 270 213 6.875%, 07/15/15 2,155 1,595 Blockbuster (G) 9.000%, 09/01/12 175 158 - -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) - -------------------------------------------------------------------------------- Bonten Media Acquisition PIK (A) 9.000%, 06/01/15 $ 275 $ 246 Boyd Gaming 7.750%, 12/15/12 (G) 100 103 7.125%, 02/01/16 2,475 2,395 6.750%, 04/15/14 1,075 1,054 Broder Brothers, Ser B 11.250%, 10/15/10 1,260 1,096 Brookstone (G) 12.000%, 10/15/12 730 723 Brown Shoe 8.750%, 05/01/12 1,100 1,133 Burlington Coat (G) 11.125%, 04/15/14 2,525 2,361 CBD Media Holdings 9.250%, 07/15/12 500 540 8.625%, 06/01/11 275 288 CCH I Holdings LLC 11.750%, 05/15/14 (B) (G) 150 139 11.125%, 01/15/14 525 478 9.920%, 04/01/14 (G) 1,600 1,376 CCH I LLC 11.000%, 10/01/15 6,341 6,425 CCH II LLC 10.250%, 09/15/10 1,385 1,416 CCH II LLC, Ser B 10.250%, 09/15/10 100 104 CCO Holdings LLC 8.750%, 11/15/13 2,620 2,633 CSC Holdings 7.875%, 12/15/07 200 200 7.625%, 07/15/18 600 573 7.250%, 07/15/08 250 251 CSC Holdings, Ser B 8.125%, 08/15/09 275 280 Cablevision Systems, Ser B 9.820%, 10/03/07 (D) 1,760 1,813 8.000%, 04/15/12 100 97 Caesars Entertainment 8.875%, 09/15/08 440 449 8.125%, 05/15/11 225 230 7.875%, 03/15/10 650 663 Canwest Media 8.000%, 09/15/12 825 809 Carrols 9.000%, 01/15/13 1,470 1,396 Charter Communications Holdings LLC (A) 8.000%, 04/30/12 175 174 Choctaw Resort Development Entity (A) 7.250%, 11/15/19 1,066 1,049 Cinemark (B) 10.838%, 03/15/14 450 425 - -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Annual Report / September 30, 2007 185 SCHEDULE OF INVESTMENTS High Yield Bond Fund (Continued) September 30, 2007 - -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) - -------------------------------------------------------------------------------- Claire's Stores (A) 10.500%, 06/01/17 (G) $ 4,825 $ 3,715 9.250%, 06/01/15 375 324 Claire's Stores PIK (A) (G) 9.625%, 06/01/15 2,625 2,159 Clear Channel Communications 4.625%, 01/15/08 2,200 2,184 Cooper Standard Auto 8.375%, 12/15/14 1,475 1,283 Couche-Tard US 7.500%, 12/15/13 1,508 1,534 Dana (C) (G) 7.000%, 03/15/28 to 03/01/29 950 770 6.500%, 03/15/08 100 82 6.500%, 03/01/09 350 289 Delphi (C) 7.125%, 05/01/29 800 736 6.550%, 06/15/06 325 297 6.500%, 05/01/09 (G) 2,325 2,116 Dex Media 9.173%, 11/15/13 (B) 3,680 3,459 8.000%, 11/15/13 125 126 Dex Media East LLC 12.125%, 11/15/12 1,620 1,729 9.875%, 11/15/09 629 646 Dex Media West, Ser B 9.875%, 08/15/13 1,950 2,074 8.500%, 08/15/10 100 103 DirecTV Holdings 8.375%, 03/15/13 1,815 1,885 6.375%, 06/15/15 5,075 4,815 Easton-Bell Sports 8.375%, 10/01/12 1,485 1,396 Echostar DBS 7.125%, 02/01/16 3,314 3,405 7.000%, 10/01/13 1,435 1,467 6.625%, 10/01/14 250 251 5.750%, 10/01/08 1,400 1,400 El Dorado Casino Shreveport PIK (G) 10.000%, 08/01/12 1,193 1,204 Eye Care Centers of America 10.750%, 02/15/15 700 746 Federal-Mogul (C) 7.750%, 07/01/06 50 41 7.500%, 07/01/04 100 82 7.500%, 01/15/09 (G) 225 185 7.375%, 01/15/06 100 82 Federal-Mogul MTN A (C) 8.370%, 11/15/01 325 267 Festival Fun Park LLC 10.875%, 04/15/14 1,906 1,920 - -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) - -------------------------------------------------------------------------------- Fontainebleau Las Vegas (A) 10.250%, 06/15/15 $ 4,950 $ 4,641 Ford Motor 9.215%, 09/15/21 350 303 8.900%, 01/15/32 900 743 8.875%, 01/15/22 50 43 7.450%, 07/16/31 975 765 6.500%, 08/01/18 (G) 2,105 1,695 General Motors 8.375%, 07/15/33 (G) 7,216 6,323 8.250%, 07/15/23 (G) 4,373 3,826 7.700%, 04/15/16 562 504 7.125%, 07/15/13 (G) 1,975 1,812 General Nutrition Center (A) 10.121%, 03/15/14 575 552 Goodyear Tire & Rubber 11.250%, 03/01/11 745 798 8.625%, 12/01/11 (A) 403 421 7.857%, 08/15/11 850 863 Great Canadian Gaming (A) 7.250%, 02/15/15 300 300 Group 1 Automotive 8.250%, 08/15/13 525 525 Hanesbrands, Ser B (D) 8.784%, 12/15/07 2,720 2,706 Harrah's Operating 8.000%, 02/01/11 675 672 5.500%, 07/01/10 100 96 Herbst Gaming 8.125%, 06/01/12 825 739 7.000%, 11/15/14 1,425 1,168 Hertz 10.500%, 01/01/16 600 648 8.875%, 01/01/14 2,375 2,446 Idearc 8.000%, 11/15/16 2,255 2,249 Inn of the Mountain Gods 12.000%, 11/15/10 275 290 Isle of Capri Casinos 7.000%, 03/01/14 2,500 2,237 Jarden (G) 7.500%, 05/01/17 3,075 2,975 Jo-Ann Stores 7.500%, 03/01/12 375 338 LBI Media (B) 8.509%, 10/15/13 675 618 LIN Television 6.500%, 05/15/13 1,625 1,580 LIN Televison, Ser B 6.500%, 05/15/13 1,325 1,289 Lamar Media 7.250%, 01/01/13 400 402 6.625%, 08/15/15 2,200 2,123 - -------------------------------------------------------------------------------- 186 SEI Institutional Managed Trust / Annual Report / September 30, 2007 - -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) - -------------------------------------------------------------------------------- Lamar Media, Ser B 6.625%, 08/15/15 $ 550 $ 531 Leslie's Poolmart 7.750%, 02/01/13 550 523 MGM Mirage 8.375%, 02/01/11 1,500 1,564 7.500%, 06/01/16 2,960 2,941 6.875%, 04/01/16 3,010 2,912 6.750%, 04/01/13 1,600 1,564 5.875%, 02/27/14 1,400 1,290 Majestic Holdings LLC (A) (B) 2.537%, 10/15/11 50 36 Majestic Star Casino LLC 9.500%, 10/15/10 1,250 1,200 Majestic Star II LLC (G) 9.750%, 01/15/11 1,250 1,050 Mandalay Resort Group 9.375%, 02/15/10 575 602 MediMedia USA (A) 11.375%, 11/15/14 775 798 MediaNews Group 6.875%, 10/01/13 75 57 6.375%, 04/01/14 150 111 Mediacom Broadband LLC 8.500%, 10/15/15 2,425 2,431 Mediacom LLC 9.500%, 01/15/13 3,276 3,317 Michael's Stores 11.375%, 11/01/16 (A) 895 915 11.375%, 11/01/16 (G) 500 511 10.000%, 11/01/14 (A) 528 541 Mohegan Tribal Gaming 7.125%, 08/15/14 75 75 6.875%, 02/15/15 1,325 1,303 6.125%, 02/15/13 250 238 NPC International 9.500%, 05/01/14 175 159 Neff (G) 10.000%, 06/01/15 1,550 1,101 Neiman Marcus Group (G) 10.375%, 10/15/15 789 860 Neiman Marcus Group PIK 9.000%, 10/15/15 1,050 1,118 New World Gaming 0.000%, 06/18/14 1,225 1,170 Nexstar Holdings LLC (B) 8.053%, 04/01/13 800 788 Outback Steakhouse (A) (G) 10.000%, 06/15/15 2,250 1,991 Penhall International (A) 12.000%, 08/01/14 2,140 2,161 Penn National Gaming 6.875%, 12/01/11 950 962 6.750%, 03/01/15 1,120 1,142 - -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) - -------------------------------------------------------------------------------- Penske Auto Group (G) 7.750%, 12/15/16 $ 1,800 $ 1,723 Perry Ellis International, Ser B 8.875%, 09/15/13 1,326 1,303 Petro Stopping Centers 9.000%, 02/15/12 250 262 Phillips Van-Heusen 8.125%, 05/01/13 375 385 7.250%, 02/15/11 75 76 Quebecor Media 7.750%, 03/15/16 4,700 4,482 RH Donnelley 10.875%, 12/15/12 800 852 6.875%, 01/15/13 675 638 RH Donnelley, Ser A-1 6.875%, 01/15/13 3,600 1,913 RH Donnelley, Ser A-2 6.875%, 01/15/13 2,165 2,046 RH Donnelley, Ser A-3 8.875%, 01/15/16 400 408 RJ Tower (C) (G) 12.000%, 06/01/13 175 4 Reader's Digest Association (A) 9.000%, 02/15/17 75 68 Rent-A-Center, Ser B 7.500%, 05/01/10 2,025 1,924 Rental Service (G) 9.500%, 12/01/14 3,245 3,099 SGS International 12.000%, 12/15/13 1,875 1,931 Sally Holdings LLC (G) 10.500%, 11/15/16 935 935 9.250%, 11/15/14 1,910 1,929 Sbarro (G) 10.375%, 02/01/15 125 114 Sealy Mattress 8.250%, 06/15/14 3,306 3,331 Seneca Gaming 7.250%, 05/01/12 600 605 Service 7.375%, 10/01/14 (G) 2,077 2,134 7.000%, 06/15/17 1,375 1,351 6.750%, 04/01/15 1,440 1,429 Service International 7.625%, 10/01/18 793 823 6.750%, 04/01/16 1,075 1,041 Simmons 12.039%, 12/15/14 (B) 4,230 3,373 7.875%, 01/15/14 (G) 1,200 1,152 Sinclair Broadcast Group (A) (B) 4.875%, 07/15/18 450 425 Six Flags (G) 9.625%, 06/01/14 150 124 - -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Annual Report / September 30, 2007 187 SCHEDULE OF INVESTMENTS High Yield Bond Fund (Continued) September 30, 2007 - -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) - -------------------------------------------------------------------------------- Sonic Automotive, Ser B (G) 8.625%, 08/15/13 $ 2,145 $ 2,118 Spectrum Brands PIK (G) 11.250%, 10/02/13 300 267 Stanadyne Holdings (B) 9.066%, 02/15/15 1,575 1,268 Stanadyne, Ser 1 10.000%, 08/15/14 450 452 Station Casinos 6.875%, 03/01/16 3,775 3,284 6.625%, 03/15/18 3,025 2,533 Steinway Musical Instruments (A) 7.000%, 03/01/14 4,855 4,612 Stewart Enterprises 6.250%, 02/15/13 805 783 Sun Media 7.625%, 02/15/13 2,085 2,049 TRW Automotive (A) 7.250%, 03/15/17 4,155 4,051 7.000%, 03/15/14 (G) 2,310 2,241 Tenneco (G) 8.625%, 11/15/14 4,001 4,031 Town Sports International (B) 4.655%, 02/01/14 1,817 1,694 Travelport LLC 11.875%, 09/01/16 (G) 2,385 2,498 10.246%, 09/01/14 2,371 2,371 United Components 9.375%, 06/15/13 680 690 United Rentals North America 7.000%, 02/15/14 700 714 6.500%, 02/15/12 2,400 2,430 Universal City Florida (D) 10.106%, 11/01/07 3,247 3,279 Univision Communications PIK (A) (G) 9.750%, 03/15/15 3,375 3,291 Vail Resorts 6.750%, 02/15/14 2,705 2,637 Vicorp Restaurants 10.500%, 04/15/11 51 33 Videotron 6.875%, 01/15/14 4,070 3,999 6.375%, 12/15/15 25 24 Visant Holding 11.058%, 12/01/13 (B) 5,015 4,664 8.750%, 12/01/13 740 757 Visteon 8.250%, 08/01/10 250 220 7.000%, 03/10/14 (G) 750 583 WMG Acquisition 7.375%, 04/15/14 1,760 1,531 WMG Holdings (B) 6.530%, 12/15/14 1,835 1,284 - -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) - -------------------------------------------------------------------------------- Wynn Las Vegas LLC 6.625%, 12/01/14 $ 2,316 $ 2,270 -------------- 269,289 -------------- CONSUMER STAPLES -- 3.1% B&G Foods 8.000%, 10/01/11 525 520 Constellation Brands 7.250%, 09/01/16 4,660 4,660 7.250%, 05/15/17 (A) 3,100 3,100 Dean Foods 7.000%, 06/01/16 75 71 Del Laboratories 10.356%, 10/28/07 (D) 610 621 8.000%, 02/01/12 (G) 2,795 2,571 Del Monte 6.750%, 02/15/15 1,235 1,186 Dole Foods 7.250%, 06/15/10 1,275 1,205 Elizabeth Arden 7.750%, 01/15/14 1,500 1,477 Fleming (C) 10.125%, 04/01/08 1,053 53 9.250%, 06/15/10 188 9 Merisant 9.500%, 07/15/13 2,075 1,577 Merisant Worldwide (B) 8.136%, 05/15/14 1,075 422 Michael Foods 8.000%, 11/15/13 2,765 2,765 NBTY 7.125%, 10/01/15 3,026 3,026 Natural Beef Pack 10.500%, 08/01/11 1,652 1,677 Pantry 7.750%, 02/15/14 1,050 1,013 Playtex Products 9.375%, 06/01/11 (G) 2,480 2,564 8.000%, 03/01/11 970 1,021 Rite Aid 9.500%, 06/15/17 (A) 3,430 3,207 9.375%, 12/15/15 (A) 925 860 9.250%, 06/01/13 1,025 974 8.625%, 03/01/15 875 792 7.700%, 02/15/27 (G) 150 115 7.500%, 01/15/15 25 24 6.875%, 08/15/13 to 12/15/28 (G) 475 353 Spectrum Brands (G) 7.375%, 02/01/15 2,508 1,931 - -------------------------------------------------------------------------------- 188 SEI Institutional Managed Trust / Annual Report / September 30, 2007 - -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) - -------------------------------------------------------------------------------- SuperValu 7.500%, 11/15/14 $ 875 $ 890 -------------- 38,684 -------------- ENERGY -- 7.3% Allis-Chalmers Energy 9.000%, 01/15/14 4,442 4,475 8.500%, 03/01/17 350 339 Atlas Pipeline Partners 8.125%, 12/15/15 375 369 Aventine Renewable Energy 10.000%, 04/01/17 800 724 Baytex Energy 9.625%, 07/15/10 350 361 Brigham Exploration 9.625%, 05/01/14 850 801 Chaparral Energy 8.875%, 02/01/17 (A) 1,125 1,055 8.500%, 12/01/15 1,812 1,699 Chesapeake Energy 7.750%, 01/15/15 (G) 2,459 2,530 7.500%, 09/15/13 to 06/15/14 1,906 1,956 7.000%, 08/15/14 324 326 6.875%, 01/15/16 817 817 6.500%, 08/15/17 2,480 2,412 Cimarex Energy 7.125%, 05/01/17 2,250 2,233 Colorado Interstate Gas 6.800%, 11/15/15 125 129 5.950%, 03/15/15 275 270 Compagnie Generale de Geophysique 7.750%, 05/15/17 525 541 7.500%, 05/15/15 1,300 1,339 Compton Pet Finance 7.625%, 12/01/13 375 362 Comstock Resources 6.875%, 03/01/12 75 72 Denbury Resources 7.500%, 04/01/13 to 12/15/15 5,225 5,348 Dynegy Holdings 8.375%, 05/01/16 975 980 7.750%, 06/01/19 (A) 4,820 4,609 7.500%, 06/01/15 (A) 1,235 1,192 El Paso (G) 7.420%, 02/15/37 1,025 993 7.000%, 06/15/17 1,550 1,574 El Paso MTN 8.050%, 10/15/30 375 385 7.800%, 08/01/31 1,050 1,066 7.750%, 01/15/32 (G) 1,050 1,066 - -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) - -------------------------------------------------------------------------------- El Paso Performance-Linked Trust (A) 7.750%, 07/15/11 $ 725 $ 745 Encore Acquisition 7.250%, 12/01/17 800 758 6.000%, 07/15/15 625 564 Energy Partners (A) 10.485%, 10/15/07 (D) 400 392 9.750%, 04/15/14 950 912 Energy XXI Gulf Coast (A) 10.000%, 06/15/13 840 794 Forest Oil 8.000%, 06/15/08 to 12/15/11 1,670 1,729 7.250%, 06/15/19 (A) (G) 500 500 Frigstad Discoverer 11.500%, 02/21/12 800 752 Frontier Oil 6.625%, 10/01/11 675 663 Grant Prideco, Ser B 6.125%, 08/15/15 300 291 Hilcorp Energy (A) 9.000%, 06/01/16 1,050 1,071 7.750%, 11/01/15 2,300 2,248 Holly Energy Partners LP 6.250%, 03/01/15 1,225 1,139 Inergy LP 6.875%, 12/15/14 325 314 MarkWest Energy, Ser B 8.500%, 07/15/16 200 197 6.875%, 11/01/14 1,600 1,480 Newfield Exploration 6.625%, 04/15/16 1,610 1,574 North Pipeline 5.950%, 04/15/17 300 290 Northwest Pipeline 7.000%, 06/15/16 225 234 OPTI Canada (A) 8.250%, 12/15/14 1,935 1,950 7.875%, 12/15/14 555 555 PHI 7.125%, 04/15/13 125 120 Pacific Energy Partner 7.125%, 06/15/14 225 231 6.250%, 09/15/15 100 96 Parker Drilling 9.625%, 10/01/13 236 253 Peabody Energy 7.375%, 11/01/16 1,025 1,081 Peabody Energy, Ser B (G) 6.875%, 03/15/13 2,000 2,020 PetroProd 10.850%, 05/24/13 800 764 - -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Annual Report / September 30, 2007 189 SCHEDULE OF INVESTMENTS High Yield Bond Fund (Continued) September 30, 2007 - -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) - -------------------------------------------------------------------------------- Petrohawk Energy 9.125%, 07/15/13 $ 2,015 $ 2,126 Plains Exploration 7.750%, 06/15/15 650 637 7.000%, 03/15/17 825 771 Pogo Producing 7.875%, 05/01/13 750 776 6.875%, 10/01/17 300 302 6.625%, 03/15/15 275 276 Pride International 7.375%, 07/15/14 859 880 Quicksilver Resources 7.125%, 04/01/16 1,025 1,010 Range Resources 6.375%, 03/15/15 350 341 Regency Energy Partners (A) 8.375%, 12/15/13 1,202 1,259 SESI LLC 6.875%, 06/01/14 1,000 970 Sabine Pass LNG LP 7.500%, 11/30/16 1,500 1,477 7.250%, 11/30/13 1,400 1,379 Southern Natural Gas 7.350%, 02/15/31 375 393 Swift Energy 7.625%, 07/15/11 2,250 2,256 Tesoro 6.625%, 11/01/15 1,530 1,530 6.500%, 06/01/17 (A) 1,000 992 Transcontinental Gas Pipe 6.400%, 04/15/16 175 176 United Refining (A) 10.500%, 08/15/12 675 695 Veneco 8.750%, 12/15/11 2,560 2,554 VeraSun Energy (A) 9.375%, 06/01/17 1,025 881 Whiting Petroleum 7.000%, 02/01/14 980 941 Williams 8.125%, 03/15/12 660 711 7.750%, 06/15/31 500 526 7.625%, 07/15/19 300 321 Williams Partners LP 7.250%, 02/01/17 2,590 2,642 Williams, Ser A 7.500%, 01/15/31 250 259 -------------- 90,821 -------------- FINANCIALS -- 8.0% AAC Group Holding (B) (G) 2.733%, 10/01/12 1,080 961 - -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) - -------------------------------------------------------------------------------- AAC Group Holding PIK (G) 14.750%, 10/01/12 $ 676 $ 663 ACE Cash Express (A) 10.250%, 10/01/14 775 777 ALH Finance LLC 8.500%, 01/15/13 2,910 2,794 Alamosa Delaware 8.500%, 01/31/12 1,005 1,049 Algoma Acquisition (A) 9.875%, 06/15/15 950 845 American Real Estate (A) 7.125%, 02/15/13 4,525 4,310 Armstrong World (C) (G) 7.450%, 05/15/29 525 3 Ashtead Capital (A) (G) 9.000%, 08/15/16 1,985 1,958 Cardtronics 9.250%, 08/15/13 150 144 9.250%, 08/15/13 (A) 350 335 Cebridge 11.371%, 05/05/14 515 501 Deluxe 7.375%, 06/01/15 200 198 Dow Jones CDX HY, Ser 6-T1 8.625%, 06/29/11 40 41 FMC Finance III (A) 6.875%, 07/15/17 1,795 1,786 FTI Consulting 7.750%, 10/01/16 1,275 1,320 7.625%, 06/15/13 425 436 Felcor Lodging LP + 8.500%, 06/01/11 300 317 7.260%, 10/31/07 (D) 225 223 Ford Motor Credit LLC 9.810%, 10/17/07 (D) 3,185 3,296 9.750%, 09/15/10 1,604 1,636 8.110%, 10/13/07 (D) 300 283 8.000%, 12/15/16 3,750 3,508 7.800%, 06/01/12 2,585 2,459 7.375%, 10/28/09 to 02/01/11 1,500 1,456 7.250%, 10/25/11 1,090 1,021 7.000%, 10/01/13 6,063 5,479 6.930%, 10/18/07 (D) 765 720 GMAC LLC 8.000%, 11/01/31 1,782 1,748 7.821%, 10/25/07 (D) 500 461 7.750%, 01/19/10 150 149 7.250%, 03/02/11 150 145 7.000%, 02/01/12 100 95 6.875%, 09/15/11 to 08/28/12 7,670 7,234 6.750%, 12/01/14 7,366 6,676 6.625%, 05/15/12 1,260 1,176 6.000%, 12/15/11 225 208 - -------------------------------------------------------------------------------- 190 SEI Institutional Managed Trust / Annual Report / September 30, 2007 - -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) - -------------------------------------------------------------------------------- HUB International Holdings (A) 9.000%, 12/15/14 $ 1,700 $ 1,632 Hawker Beechcraft Acquisition (A) 9.750%, 04/01/17 250 247 8.500%, 04/01/15 375 383 Hawker Beechcraft Acquisition PIK (A) 8.875%, 04/01/15 75 76 Hellas II (A) (D) 11.110%, 12/21/07 2,250 2,317 Hexion US Fin/Nova Scotia 9.750%, 11/15/14 2,250 2,475 10.058%, 11/15/07 (D) 750 772 Host Hotels & Resorts LP 6.875%, 11/01/14 1,615 1,611 Host Marriott LP + 7.125%, 11/01/13 1,025 1,033 Host Marriott LP, Ser M + 7.000%, 08/15/12 400 403 Host Marriott LP, Ser O + 6.375%, 03/15/15 475 464 Host Marriott LP, Ser Q + 6.750%, 06/01/16 1,515 1,500 Ipayment 9.750%, 05/15/14 750 716 KAR Holdings (A) 10.000%, 05/01/15 1,650 1,547 9.356%, 05/01/14 (D) (G) 800 766 8.750%, 05/01/14 1,425 1,364 LVB Acquisition Merger - Biomet PIK 10.375%, 10/15/17 1,965 1,899 Marlin Water Trust II (A) (C) 6.310%, 07/15/03 4,200 378 NSG Holdings LLC (A) 7.750%, 12/15/25 475 470 Nielsen Finance LLC 10.000%, 08/01/14 2,050 2,168 Omega Healthcare Investors + 7.000%, 01/15/16 1,300 1,289 PNA Intermediate Holding (A) (D) 12.558%, 11/15/07 500 490 PXRE Capital Trust I 8.850%, 02/01/27 900 911 Petroplus Finance 7.000%, 05/01/17 (A) 3,235 3,073 6.750%, 05/01/14 (A) 1,400 1,344 6.750%, 05/01/14 1,400 1,346 Pinnacle Foods Finance LLC (A) 10.625%, 04/01/17 (G) 1,975 1,852 9.250%, 04/01/15 225 214 Realogy (A) 12.375%, 04/15/15 450 340 10.500%, 04/15/14 (G) 850 725 - -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) - -------------------------------------------------------------------------------- Residential Capital LLC 6.224%, 06/09/08 (D) $ 400 $ 368 6.125%, 11/21/08 225 201 Rouse LP + (A) 6.750%, 05/01/13 700 687 SLM EXL, Ser S (D) (H) 5.763%, 10/15/07 3,040 3,040 Senior Housing Properties Trust + 7.875%, 04/15/15 671 701 Snoqualmie Enterprises Authority (A) 9.125%, 02/01/15 1,025 1,010 9.063%, 02/01/08 (D) 300 292 Trustreet Properties + 7.500%, 04/01/15 475 509 Ventas Realty LP + 7.125%, 06/01/15 75 77 6.750%, 04/01/17 850 848 6.625%, 10/15/14 375 374 Yankee Acquisition, Ser B 8.500%, 02/15/15 1,075 1,043 Yankee Acquisition, Ser B (G) 9.750%, 02/15/17 525 496 -------------- 99,862 -------------- HEALTH CARE -- 4.5% Advanced Mecial Optics 7.500%, 05/01/17 2,700 2,484 Bio-Rad Laboratories 7.500%, 08/15/13 175 178 6.125%, 12/15/14 850 808 CRC Health 10.750%, 02/01/16 1,725 1,811 Community Health Systems (A) (G) 8.875%, 07/15/15 2,560 2,630 Cooper 7.125%, 02/15/15 2,925 2,896 Fresenius Medical Capital Trust II 7.875%, 02/01/08 1,830 1,835 Fresenius Medical Capital Trust IV 7.875%, 06/15/11 1,050 1,089 HCA 9.250%, 11/15/16 (A) 9,850 10,466 9.125%, 11/15/14 (A) 855 902 8.750%, 09/01/10 510 516 6.750%, 07/15/13 615 554 6.500%, 02/15/16 (G) 325 276 HCA PIK (A) 9.625%, 11/15/16 5,480 5,850 MedCath Holdings (G) 9.875%, 07/15/12 431 457 Mylan Laboratories 6.375%, 08/15/15 660 709 - -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Annual Report / September 30, 2007 191 SCHEDULE OF INVESTMENTS High Yield Bond Fund (Continued) September 30, 2007 - -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) - -------------------------------------------------------------------------------- NMH Holdings PIK (A) 12.485%, 12/15/07 $ 625 $ 609 Norcross Safety Products, Ser B 9.875%, 08/15/11 1,315 1,354 Reable Therapeutics 11.750%, 11/15/14 1,150 1,092 Res-care 7.750%, 10/15/13 675 668 Select Medical (G) 11.080%, 03/29/08 (D) 650 588 7.625%, 02/01/15 2,085 1,866 Spheris 11.000%, 12/15/12 1,400 1,400 Sun Healthcare Group (A) 9.125%, 04/15/15 375 383 Surgical Care Affiliates PIK (A) 8.875%, 07/15/15 850 808 Tenet Healthcare 9.875%, 07/01/14 (G) 1,325 1,212 9.250%, 02/01/15 3,760 3,318 US Oncology 10.750%, 08/15/14 4,349 4,490 9.000%, 08/15/12 675 680 United Surgical Partners (G) 8.875%, 05/01/17 1,480 1,495 United Surgical Partners PIK 9.250%, 05/01/17 2,010 2,010 Universal Hospital Services (A) (D) 8.759%, 12/01/07 175 174 Universal Hospital Services PIK (A) 8.500%, 06/01/15 250 248 -------------- 55,856 -------------- INDUSTRIALS -- 8.6% ACCO Brands 7.625%, 08/15/15 3,605 3,443 ACIH (A) (B) (G) 5.291%, 12/15/12 975 751 AGY Holding (A) 11.000%, 11/15/14 675 673 Actuant (A) 6.875%, 06/15/17 1,580 1,556 Ahern Rentals 9.250%, 08/15/13 1,500 1,444 Ainsworth Lumber 7.250%, 10/01/12 250 171 6.750%, 03/15/14 450 288 6.750%, 03/15/14 (G) 450 290 Aleris International 10.000%, 12/15/16 1,900 1,681 Alliant Techsystems 6.750%, 04/01/16 650 643 - -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) - -------------------------------------------------------------------------------- Allied Waste North America 7.250%, 03/15/15 $ 205 $ 209 6.125%, 02/15/14 (G) 2,030 1,972 Allied Waste North America, Ser B 7.375%, 04/15/14 (G) 340 342 7.125%, 05/15/16 545 557 Altos Hornos de Mexico, Ser A (C) 11.375%, 04/30/02 500 343 Altos Hornos de Mexico, Ser B (C) 11.875%, 04/30/04 900 616 American Airlines, Ser 01-1 7.379%, 05/23/16 117 109 American Axle & Manufacturing 7.875%, 03/01/17 575 555 American Railcar Industries 7.500%, 03/01/14 300 299 Ames True Temper 10.000%, 07/15/12 (G) 1,425 1,097 9.360%, 10/15/07 (D) 1,345 1,325 Associated Materials (B) (G) 15.609%, 03/01/14 525 331 Baker & Taylor (A) 11.500%, 07/01/13 950 932 Baldor Electric 8.625%, 02/15/17 1,110 1,160 Basell (A) (G) 8.375%, 08/15/15 1,150 1,049 Belden (A) 7.000%, 03/15/17 200 198 Buffalo Thunder Development Authority (A) 9.375%, 12/15/14 2,225 2,091 Buhrmann US 8.250%, 07/01/14 1,750 1,654 7.875%, 03/01/15 625 584 Chart Industries 9.125%, 10/15/15 325 336 Cornell 10.750%, 07/01/12 500 533 Corrections Corp of America 7.500%, 05/01/11 1,000 1,007 6.750%, 01/31/14 450 449 6.250%, 03/15/13 2,852 2,809 D.R. Horton 5.625%, 09/15/14 1,090 927 DRS Technologies 7.625%, 02/01/18 575 587 6.875%, 11/01/13 300 300 6.625%, 02/01/16 1,000 987 Dayton Superior (G) 13.000%, 06/15/09 1,532 1,494 Delta Air Lines, Ser 2002-1 (G) 8.300%, 12/15/29 925 53 - -------------------------------------------------------------------------------- 192 SEI Institutional Managed Trust / Annual Report / September 30, 2007 - -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) - -------------------------------------------------------------------------------- Delta Air Lines, Ser 2002-1, Cl C 7.779%, 01/02/12 $ 881 $ 872 ESCO (A) 9.235%, 12/15/07 (D) 150 145 8.625%, 12/15/13 740 729 Education Management LLC (G) 10.250%, 06/01/16 2,350 2,432 General Cable 7.125%, 04/01/17 360 353 Goodman Global Holdings 7.875%, 12/15/12 4,325 4,249 Goodman Global Holdings, Ser B (D) 8.360%, 12/15/07 1,090 1,079 Graftech Finance 10.250%, 02/15/12 659 687 Gulfmark Offshore 7.750%, 07/15/14 875 879 Indalex Holding, Ser B 11.500%, 02/01/14 784 737 Intergen (A) 9.000%, 06/30/17 1,200 1,260 Interline Brands 8.125%, 06/15/14 1,090 1,076 Iron Mountain 8.750%, 07/15/18 70 73 8.625%, 04/01/13 747 756 7.750%, 01/15/15 1,635 1,631 6.625%, 01/01/16 (G) 4,950 4,628 J.B. Poindexter (G) 8.750%, 03/15/14 425 383 K Hovnanian Enterprises 8.625%, 01/15/17 (G) 1,970 1,625 7.500%, 05/15/16 500 398 6.250%, 01/15/16 (G) 1,050 808 L-3 Communications 6.125%, 07/15/13 130 128 5.875%, 01/15/15 4,661 4,475 L-3 Communications, Ser B 6.375%, 10/15/15 2,829 2,779 Language Line 11.125%, 06/15/12 50 54 MAAX (G) 9.750%, 06/15/12 375 188 Meritage Homes 7.000%, 05/01/14 600 480 Millar Western Forest 7.750%, 11/15/13 980 774 Mobile Mini 6.875%, 05/01/15 750 729 Mobile Services Group (A) 9.750%, 08/01/14 450 450 Mueller Water Products (A) 7.375%, 06/01/17 1,000 930 - -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) - -------------------------------------------------------------------------------- NCL 10.625%, 01/15/08 $ 500 $ 504 NTK Holdings (G) 3.666%, 03/01/14 200 123 Nebraska Book 8.625%, 03/15/12 250 249 Noble Group (A) 6.625%, 03/17/15 575 535 Nortek 8.500%, 09/01/14 825 716 Northwest Airlines (C) 10.000%, 02/01/09 75 7 8.875%, 06/01/06 (G) 1,575 154 7.875%, 03/15/08 (G) 175 18 7.625%, 11/15/23 1,200 114 Polypore 8.750%, 05/15/12 175 169 Propex Fabrics 10.000%, 12/01/12 225 171 Psychiatric Solutions I 7.750%, 07/15/15 2,125 2,152 Quality Distributors 9.000%, 11/15/10 825 786 Quebecor World Capital (A) 8.750%, 03/15/16 3,325 3,017 RBS Global & Rexnord 11.750%, 08/01/16 (G) 1,000 1,065 9.500%, 08/01/14 575 595 8.875%, 09/01/16 1,925 1,935 RH Donnellley 8.875%, 10/15/17 1,820 1,843 Rainbow National Services LLC (A) 10.375%, 09/01/14 340 373 8.750%, 09/01/12 1,485 1,541 Saint Acquisition (A) (G) 12.500%, 05/15/17 2,200 1,474 Seitel 9.750%, 02/15/14 1,500 1,417 Stallion Oilfield Services (A) 9.750%, 02/01/15 2,700 2,616 Stone Container (G) 8.000%, 03/15/17 1,675 1,646 Sunstate Equipment (A) 10.500%, 04/01/13 690 666 Superior Essex Com & Essex Group 9.000%, 04/15/12 654 646 Technical Olympic USA (G) 10.375%, 07/01/12 345 94 Terex 7.375%, 01/15/14 2,178 2,211 Titan International 8.000%, 01/15/12 2,460 2,454 - -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Annual Report / September 30, 2007 193 SCHEDULE OF INVESTMENTS High Yield Bond Fund (Continued) September 30, 2007 - -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) - -------------------------------------------------------------------------------- Transdigm 7.750%, 07/15/14 $ 1,775 $ 1,793 Tube City IMS 9.750%, 02/01/15 800 782 UCI Holdco PIK (A) 0.488%, 12/15/07 720 684 United Air Lines (C) 9.125%, 01/15/12 1,075 8 United Air Lines, Ser 2001-1 6.201%, 09/01/08 627 626 United Air Lines, Ser 95A1 9.020%, 04/19/12 423 237 United Air Lines, Ser 95A2 9.560%, 10/19/18 664 372 United Air Lines, Ser A (C) 10.670%, 05/01/04 525 4 Vanguard Health Holdings I (B) 9.132%, 10/01/15 250 187 Vanguard Health Holdings II 9.000%, 10/01/14 950 921 Visant 7.625%, 10/01/12 510 519 Wimar Opco LLC (A) 9.625%, 12/15/14 1,050 814 -------------- 107,870 -------------- INFORMATION TECHNOLOGY -- 3.6% Activant Solution 9.500%, 05/01/16 1,500 1,320 Advanced Micro Devices (G) 7.750%, 11/01/12 1,032 949 Amkor Technologies (G) 9.250%, 06/01/16 1,250 1,262 Compucom Systems 12.500%, 10/01/15 900 857 Flextronics International (G) 6.250%, 11/15/14 2,250 2,104 Freescale Semiconductor 10.125%, 12/15/16 (G) 5,810 5,403 9.235%, 12/15/07 275 259 8.875%, 12/15/14 (G) 920 888 Freescale Semiconductor PIK 9.125%, 12/15/14 4,475 4,139 Magnachip Semiconductor (G) 6.875%, 12/15/11 450 367 NXP Funding LLC 8.110%, 10/15/13 1,000 932 7.875%, 10/15/14 4,325 4,163 9.500%, 10/15/15 (G) 4,845 4,518 Open Solutions (A) 9.750%, 02/01/15 3,520 3,388 - -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) - -------------------------------------------------------------------------------- Sanmina-SCI (A) (D) (G) 8.110%, 12/15/07 $ 2,000 $ 1,937 Sensata Technologies (G) 8.000%, 05/01/14 2,440 2,379 Smart Modular (D) 10.860%, 10/01/07 670 704 Sungard Data Systems (G) 10.250%, 08/15/15 8,265 8,637 Viasystems 10.500%, 01/15/11 400 400 -------------- 44,606 -------------- MATERIALS -- 8.6% AK Steel 7.750%, 06/15/12 1,950 1,974 Abitibi-Consolidated 8.550%, 08/01/10 1,400 1,155 6.950%, 04/01/08 125 119 Appleton Papers 8.125%, 06/15/11 425 420 Appleton Papers, Ser B 9.750%, 06/15/14 1,150 1,147 Arch Western Finance 6.750%, 07/01/13 7,750 7,595 Ball 6.625%, 03/15/18 1,250 1,228 Boise Cascade LLC (D) 8.235%, 10/15/07 1,250 1,250 Bowater 9.500%, 10/15/12 500 416 8.694%, 12/15/07 (D) 2,575 2,176 Bowater Canada Finance 7.950%, 11/15/11 600 494 Bway 10.000%, 10/15/10 674 687 Cascades 7.250%, 02/15/13 655 642 Catalyst Paper 7.375%, 03/01/14 455 339 Catalyst Paper, Ser D 8.625%, 06/15/11 1,708 1,332 Claymont Steel 8.875%, 02/15/15 150 143 Crown Americas 7.750%, 11/15/15 1,544 1,594 Crown Cork & Seal 8.000%, 04/15/23 1,325 1,298 Domtar (G) 9.500%, 08/01/16 275 289 7.125%, 08/15/15 1,725 1,656 - -------------------------------------------------------------------------------- 194 SEI Institutional Managed Trust / Annual Report / September 30, 2007 - -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) - -------------------------------------------------------------------------------- Equistar Chemical 10.625%, 05/01/11 $ 1,013 $ 1,059 10.125%, 09/01/08 1,051 1,085 FMG Finance (A) 10.625%, 09/01/16 3,105 3,656 10.000%, 09/01/13 400 438 Freeport-McMoRan Copper & Gold 8.564%, 04/01/15 (D) 1,350 1,402 8.375%, 04/01/17 4,125 4,507 Georgia Gulf (G) 7.125%, 12/15/13 300 264 Georgia-Pacific 8.125%, 05/15/11 1,140 1,157 8.000%, 01/15/24 (G) 1,250 1,219 7.700%, 06/15/15 (G) 2,020 2,010 7.125%, 01/15/17 (A) (G) 2,265 2,191 7.000%, 01/15/15 (A) 2,275 2,218 Graham Packaging (G) 9.875%, 10/15/14 4,205 4,163 Huntsman International LLC 7.875%, 11/15/14 1,355 1,443 Huntsman LLC 11.500%, 07/15/12 905 984 INEOS Group Holdings PLC (A) (G) 8.500%, 02/15/16 3,145 3,011 Innophos 8.875%, 08/15/14 550 545 Innophos Holdings (A) 9.500%, 04/15/12 725 729 Intertape Polymer 8.500%, 08/01/14 475 442 Jefferson Smurfit 8.250%, 10/01/12 1,600 1,604 Lyondell Chemical 10.500%, 06/01/13 1,255 1,349 8.000%, 09/15/14 433 476 6.875%, 06/15/17 (G) 4,625 5,018 Macdermid (A) (G) 9.500%, 04/15/17 950 917 Methanex 6.000%, 08/15/15 175 165 Millennium America 7.625%, 11/15/26 175 151 Momentive Performance (A) (G) 11.500%, 12/01/16 3,250 3,217 Mosaic (A) 7.625%, 12/01/16 2,475 2,639 7.375%, 12/01/14 650 683 Mosaic Global Holdings 7.300%, 01/15/28 350 333 Nalco (G) 8.875%, 11/15/13 1,905 2,000 7.750%, 11/15/11 2,100 2,142 - -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) - -------------------------------------------------------------------------------- Neenah 9.500%, 01/01/17 $ 475 $ 435 Newark Group 9.750%, 03/15/14 775 744 Noranda Aluminum Acquisition PIK (A) 9.360%, 11/18/07 1,200 1,128 Noranda Aluminum Holdings PIK (A) 11.146%, 11/15/07 1,050 977 Novelis 7.250%, 02/15/15 1,000 965 Owens-Brockway Glass Container 8.250%, 05/15/13 2,195 2,272 6.750%, 12/01/14 1,600 1,578 P.H. Glatfelter 7.125%, 05/01/16 1,705 1,696 PNA Group 10.750%, 09/01/16 1,325 1,351 Packaging Dynamics (A) 10.000%, 05/01/16 2,170 2,181 Polyone (G) 8.875%, 05/01/12 2,935 3,023 Reichhold Industries (A) 9.000%, 08/15/14 1,519 1,534 Rock-Tenn 5.625%, 03/15/13 2,200 2,062 Rockwood Specialties Group (G) 7.500%, 11/15/14 1,270 1,267 Solo Cup 8.500%, 02/15/14 1,100 974 Solutia (C) 11.250%, 07/15/09 1,100 1,117 7.375%, 10/15/27 (G) 625 558 Stelco (D) 10.824%, 03/31/16 200 221 Terra Capital, Ser B (G) 7.000%, 02/01/17 2,755 2,686 US Steel 6.650%, 06/01/37 150 138 Verso Paper Holdings LLC, Ser B (G) 11.375%, 08/01/16 400 421 Vitro 9.125%, 02/01/17 1,665 1,636 -------------- 108,135 -------------- TELECOMMUNICATION SERVICES -- 9.5% American Cellular, Ser B 10.000%, 08/01/11 628 656 American Tower 7.500%, 05/01/12 125 128 7.125%, 10/15/12 1,500 1,534 - -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Annual Report / September 30, 2007 195 SCHEDULE OF INVESTMENTS High Yield Bond Fund (Continued) September 30, 2007 - -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) - -------------------------------------------------------------------------------- Centennial Communications 11.110%, 10/01/07 (D) $ 100 $ 103 10.750%, 12/15/08 42 42 10.125%, 06/15/13 2,320 2,459 8.125%, 02/01/14 (G) 1,400 1,425 Cincinnati Bell 7.250%, 07/15/13 2,275 2,292 7.000%, 02/15/15 125 121 Citizens Communications 9.250%, 05/15/11 1,775 1,926 6.625%, 03/15/15 1,480 1,450 Consolidated Communication Holdings 9.750%, 04/01/12 3,234 3,266 Cricket Communications I 9.375%, 11/01/14 4,800 4,872 9.375%, 11/01/14 (A) 3,800 3,857 Digicel Limited (A) 9.250%, 09/01/12 2,275 2,338 Digicel Group (A) (G) 8.875%, 01/15/15 1,920 1,805 Digicel Group PIK (A) (G) 0.049%, 01/15/15 2,475 2,302 Dobson Cellular Systems 9.875%, 11/01/12 735 794 8.375%, 11/01/11 (G) 250 265 Dobson Communications 9.610%, 10/15/07 (D) 840 855 8.875%, 10/01/13 (G) 2,555 2,721 Embarq 7.082%, 06/01/16 1,175 1,218 GCI 7.250%, 02/15/14 1,525 1,411 Hawaiian Telecom Communications, Ser B (G) 12.500%, 05/01/15 325 351 9.750%, 05/01/13 700 716 IPCS (A) (D) 7.481%, 11/01/07 945 917 IPCS PIK (A) 8.606%, 05/01/14 1,700 1,666 Insight Communications (B) 12.250%, 02/15/11 1,500 1,549 Insight Midwest 9.750%, 10/01/09 1,250 1,252 Intelsat 9.000%, 06/15/16 475 489 6.500%, 11/01/13 2,125 1,615 Intelsat Bermuda 11.250%, 06/15/16 (G) 2,315 2,480 9.250%, 06/15/16 578 600 8.886%, 02/12/08 (D) 950 960 Intelsat Intermediate (B) 9.461%, 02/01/15 2,955 2,430 - -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) - -------------------------------------------------------------------------------- Intelsat Sub Holding 8.625%, 01/15/15 (G) $ 700 $ 714 8.250%, 01/15/13 620 629 Level 3 Financing 9.250%, 11/01/14 4,460 4,393 9.150%, 02/15/08 (D) 125 119 8.750%, 02/15/17 (G) 875 844 MetroPCS Wireless (A) 9.250%, 11/01/14 8,365 8,532 Nordic Telephone Holdings (A) (G) 8.875%, 05/01/16 2,495 2,632 Nortel Networks (A) (D) 9.610%, 10/15/07 400 400 Orascom Telecom Finance (A) 7.875%, 02/08/14 2,275 2,153 PAETEC Holding (A) 9.500%, 07/15/15 3,160 3,160 Primus Telecommunications (G) 8.000%, 01/15/14 1,650 1,126 Qwest 8.875%, 03/15/12 1,575 1,719 8.610%, 12/15/07 (D) 896 956 7.875%, 09/01/11 300 315 7.625%, 06/15/15 832 872 7.500%, 10/01/14 1,355 1,409 7.250%, 09/15/25 to 10/15/35 1,775 1,720 Qwest Capital Funding (G) 7.900%, 08/15/10 150 153 Qwest Communications International 9.058%, 11/11/07 (D) (G) 3,779 3,817 7.500%, 02/15/14 (G) 550 557 7.250%, 02/15/11 125 126 Qwest Communications International, Ser B 7.500%, 02/15/14 4,020 4,070 Rural Cellular 8.360%, 12/04/07 (A) (D) 845 866 8.250%, 03/15/12 2,315 2,402 Securus Technologies (G) 11.000%, 09/01/11 100 86 Syniverse Technologies, Ser B 7.750%, 08/15/13 150 143 Telcordia Technologies (A) 10.000%, 03/15/13 450 371 Telenet Group Holdings (A) (B) 9.020%, 06/15/14 1,071 1,060 Triton (G) 8.500%, 06/01/13 1,550 1,622 US Unwired, Ser B 10.000%, 06/15/12 450 483 Virgin Media Finance PLC 8.750%, 04/15/14 1,700 1,743 - -------------------------------------------------------------------------------- 196 SEI Institutional Managed Trust / Annual Report / September 30, 2007 - -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) - -------------------------------------------------------------------------------- West 11.000%, 10/15/16 (G) $ 100 $ 105 9.500%, 10/15/14 4,065 4,197 Wind Acquisition Finance (A) 10.750%, 12/01/15 2,820 3,123 Windstream 8.625%, 08/01/16 (G) 6,390 6,845 8.125%, 08/01/13 770 810 7.000%, 03/15/19 1,575 1,536 -------------- 118,673 -------------- UTILITIES -- 2.5% AES 9.375%, 09/15/10 650 686 9.000%, 05/15/15 (A) 675 709 8.875%, 02/15/11 2,325 2,427 8.750%, 05/15/13 250 261 7.750%, 03/01/14 1,450 1,472 Aquila 14.875%, 07/01/12 1,100 1,386 Calpine Generating (C) 14.320%, 10/01/07 348 127 Edison Mission Energy (A) 7.625%, 05/15/27 925 893 7.200%, 05/15/19 950 936 7.000%, 05/15/17 (G) 4,330 4,265 Mirant (C) 0.000%, 07/15/04 (G) 450 22 0.000%, 07/15/07 1,150 75 0.000%, 07/15/09 50 2 Mirant Americas Generation LLC 8.500%, 10/01/21 3,372 3,212 8.300%, 05/01/11 1,630 1,646 Mirant North America LLC 7.375%, 12/31/13 2,735 2,776 NRG Energy 7.375%, 02/01/16 to 01/15/17 6,185 6,191 7.250%, 02/01/14 385 386 Reliant Energy (G) 7.625%, 06/15/14 1,600 1,612 Sierra Pacific Resources 7.803%, 06/15/12 450 469 TXU, Ser P 5.550%, 11/15/14 600 484 TXU, Ser R (G) 6.550%, 11/15/34 150 118 Tenaska Alabama (A) (G) 7.000%, 06/30/21 837 841 -------------- 30,996 -------------- Total Corporate Obligations (Cost $980,844) ($ Thousands) 964,792 -------------- - -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) - -------------------------------------------------------------------------------- LOAN PARTICIPATIONS -- 9.1% FINANCIALS -- 9.1% Advansta, 2nd Lien 10.320%, 11/30/14 $ 1,250 $ 1,200 Aeroflex 8.875%, 07/29/14 650 614 Affinion Holding 11.660%, 03/01/12 900 869 Affinion Holding PIK 11.660%, 01/24/12 2,000 1,930 Allison Transmission Term B Loan (J) 0.000%, 08/07/14 2,200 2,117 Ameritrade Holding 7.070%, 12/31/12 1,200 1,179 7.070%, 12/31/12 900 884 7.070%, 12/31/12 750 737 Aramark (D) 7.360%, 01/26/14 853 836 Aramark LOC (Synthetic) 7.360%, 01/26/14 60 59 Asurion 8.320%, 07/02/14 1,000 972 Asurion, 2nd Lien 12.036%, 07/02/15 500 490 0.000%, 07/07/15 (J) 722 708 0.000%, 07/07/15 (J) 528 517 BOC Edwards 11.110%, 05/31/14 175 149 7.360%, 05/31/14 150 138 Boston Generating 7.600%, 12/19/13 2,000 1,959 0.000%, 06/19/14 492 491 Boston Generating, 1st Lien 12.350%, 12/21/16 160 167 Boston Generating, 2nd Lien 9.600%, 06/21/14 700 698 9.570%, 06/18/14 1,000 998 Bresnan Communications, 1st Lien 7.360%, 03/31/13 1,500 1,457 CCFC 11.320%, 08/26/09 2,058 2,114 Cebridge 11.371%, 05/05/14 1,110 1,081 Cebridge PIK 11.380%, 05/05/14 750 731 Central Parking 7.570%, 05/22/14 1,216 1,167 Central Parking LOC (Synthetic) 7.625%, 05/22/14 284 273 Century Cable 10.250%, 06/30/09 3 3 - -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Annual Report / September 30, 2007 197 SCHEDULE OF INVESTMENTS High Yield Bond Fund (Continued) September 30, 2007 - -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) - -------------------------------------------------------------------------------- Charter, 3rd Lien 7.860%, 09/06/14 $ 1,200 $ 1,149 7.850%, 03/01/14 500 479 Claire's Stores 8.110%, 05/29/13 to 05/07/14 825 769 Community Health Systems 7.756%, 07/02/14 1,876 1,840 0.000%, 07/13/14 (I) 124 -- Cooper Standard 7.875%, 12/23/11 2,216 2,164 Dae Aviation Holdings Term B Loan (J) 0.000%, 07/31/14 573 572 0.000%, 07/31/14 757 756 0.000%, 07/31/14 669 662 Delta, 2nd Lien 8.605%, 04/30/14 225 218 Dresser Rand, 1st Lien 7.860%, 05/04/14 825 804 Dresser Rand, 2nd Lien 11.110%, 05/04/15 1,500 1,470 Entegra PIK 11.340%, 04/04/15 225 215 Entegra PIK, 3rd Lien 11.340%, 04/19/15 1,083 1,036 11.340%, 04/19/15 450 431 First Data (J) 0.000%, 09/24/14 850 816 0.000%, 09/24/14 2,300 2,230 0.000%, 09/24/14 2,300 2,208 0.000%, 09/24/14 680 653 0.000%, 09/24/14 2,045 1,963 0.000%, 09/24/14 300 288 Georgia Pacific 7.340%, 02/14/13 375 368 Georgia Pacific, Ser B 7.485%, 02/14/13 991 972 Green Valley Ranch Gaming, 2nd Lien 8.791%, 08/06/14 2,000 1,895 HCA, Ser B 7.614%, 11/15/14 1,993 1,927 Hertz 7.282%, 12/31/12 212 208 Hertz LOC (Synthetic) 7.110%, 02/08/12 152 151 7.110%, 02/08/12 38 38 0.000%, 02/08/12 (J) 61 60 Hertz Term B Loan (J) 0.000%, 12/31/12 186 183 0.000%, 12/31/12 20 19 0.000%, 12/31/12 133 131 Hertz, 2nd Lein 7.110%, 12/31/12 848 833 - -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) - -------------------------------------------------------------------------------- IM US Holdings LLC, 2nd Lien 0.000%, 06/26/15 $ 1,000 $ 995 Iasis Healthcare 10.610%, 06/15/14 2,053 1,930 Idearc, Ser B 7.350%, 11/15/14 3,483 3,418 Infor Global Solutions Term B Loan (J) 0.000%, 09/02/12 1,000 965 Infor Global Solutions Term Loan 11.610%, 03/02/14 750 716 Insight Midwest Holdings LLC 7.360%, 04/06/14 1,375 1,345 Intelsat Bermuda 7.855%, 02/02/14 1,875 1,848 JG Wentworth, 1st Lein 7.600%, 04/04/14 1,025 971 KAR Holding 7.570%, 04/20/14 1,225 1,183 McKechnie Aerospace 10.340%, 05/11/15 450 417 7.340%, 05/11/14 225 215 0.000%, 05/11/15 250 231 McKechnie Aerospace, 1st Lien 7.360%, 05/11/14 325 310 Metroflag, 2nd Lien 14.803%, 07/06/08 300 300 Murray 13.900%, 01/31/11 2,027 2,098 NASDAQ Stock Market Term Loan 7.315%, 11/20/13 600 594 NRG Holdings Term Loan 0.000%, 05/04/14 (I) 1,000 -- 0.000%, 06/08/14 (J) 750 733 Nalco, Ser B 7.163%, 11/04/10 927 919 Nielsen Finance 8.190%, 08/09/13 744 721 Northwest Airlines 7.150%, 08/21/08 1,485 1,418 Oshkosh Truck 7.110%, 12/06/13 1,000 985 PAETEC Holdings 8.065%, 02/28/13 644 636 Penhall 12.824%, 03/28/12 625 625 Pinnacle Foods 8.099%, 04/02/14 1,025 990 Proquest 8.328%, 02/09/14 800 784 Proquest, 2nd Lien 11.090%, 02/09/16 1,200 1,179 - -------------------------------------------------------------------------------- 198 SEI Institutional Managed Trust / Annual Report / September 30, 2007 - -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) - -------------------------------------------------------------------------------- RE/MAX International 7.070%, 12/15/07 $ 1,734 $ 1,696 Reader's Digest Association 7.339%, 03/02/14 1,197 1,129 Remax International Term Loan (I) 0.000%, 12/15/07 267 6 Resolute Aneth LLC, 2nd Lien 9.860%, 06/27/13 1,500 1,440 Rexnord 12.360%, 02/20/13 2,076 2,032 Reynolds & Reynolds Term Loan (J) 0.000%, 04/01/14 800 796 Reynolds & Reynolds, 3rd Lien 12.860%, 04/01/14 to 04/24/14 1,800 1,791 Sandridge 8.625%, 04/01/15 1,050 1,034 Seminole Tribe of Florida 6.875%, 03/05/14 81 80 Seminole Tribe of Florida, Term 2 Loan 6.875%, 03/05/14 547 541 Seminole Tribe of Florida, Term 3 Loan 6.875%, 03/05/14 541 536 Seminole Tribe of Florida, Term B Loan (I) 0.000%, 03/05/14 81 1 Simmons Holdco 10.650%, 02/15/12 1,500 1,380 10.648%, 02/15/12 1,145 1,053 Sorenson Communications, 2nd Lien 12.360%, 02/16/14 1,250 1,250 Surgical Care Affiliates 7.570%, 12/29/14 1,500 1,410 TL Acquisitions 0.709%, 06/29/14 850 825 TPF Generation Holdings LLC 9.620%, 12/15/14 1,750 1,654 Town Sports International 7.500%, 08/27/13 250 237 Tropicana Entertainment 7.850%, 12/31/11 1,465 1,414 UPC Financing Partnership 7.080%, 04/01/13 1,000 953 7.080%, 12/31/13 1,000 953 Univision Communications 7.605%, 09/15/14 1,879 1,776 7.570%, 03/15/14 940 888 0.406%, 09/29/14 425 404 0.000%, 03/15/14 (I) 60 3 0.000%, 09/15/14 (I) 121 7 VWR International, 2nd Lien 7.860%, 06/29/14 2,000 1,852 Venoco 10.000%, 03/30/11 150 148 9.875%, 05/07/14 375 369 - -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) - -------------------------------------------------------------------------------- Verint Systems 8.090%, 05/09/14 $ 2,000 $ 1,945 WideOpenWest Finance LLC 7.830%, 06/18/14 1,000 958 WideOpenWest Finance LLC, 2nd Lien 11.610%, 06/18/15 1,000 940 Wind Acquisition Holdings 12.610%, 12/21/11 749 756 12.609%, 12/12/11 2,540 2,566 -------------- Total Loan Participations (Cost $116,014) ($ Thousands) 113,395 -------------- COLLATERALIZED LOAN OBLIGATIONS -- 5.5% FINANCIALS -- 5.5% Ares IIIR, Ser 2007-1A, Cl SUB 13.800%, 04/16/21 3,800 3,040 Ares VR, Ser 2006-1A, Cl SUB (A) 10.490%, 02/24/18 7,000 4,900 Babson, Ser 2007-2A, Cl INC 5.374%, 04/15/21 2,500 2,125 CIFC Funding 2007-IV 0.000%, 1,000 1,000 CIFC Funding, Ser 2006-I (A) (D) 13.290%, 10/20/20 2,300 2,070 CIFC Funding, Ser 2006-II (A) (D) 13.770%, 03/01/21 3,000 2,700 CIFC Funding, Ser 2007-2A, Cl SUB (A) 0.000%, 04/15/21 2,700 2,376 Capitalsource Advisors, Ser 2006-1A, Cl SUB (A) 0.000%, 08/27/20 3,200 2,784 Copper River, Ser 2006-1A, Cl INC 0.000%, 01/20/21 3,000 2,679 De Meer Middle Market, Ser 2006-1A, Cl INC 0.000%, 10/20/18 2,171 1,830 Denali Capital VII, Ser 2007-1A, Cl INC 10.780%, 01/22/22 2,200 2,090 Gale Force, Ser 2007-4A, Cl E 11.924%, 11/20/07 1,100 984 Gale Force, Ser 2007-4A, Cl INC 0.000%, 08/20/21 1,500 1,305 Gleneagles, Ser AI (D) 12.940%, 11/01/17 6,500 5,911 Golden Tree Loan Opportunities III, Ser 2007-3A, Cl SUB 0.000%, 05/01/22 3,400 2,635 ING Investment Management I (A) (D) 0.000%, 12/01/17 12,500 9,250 ING Investment Management II (A) (D) 11.120%, 08/01/20 5,600 4,760 - -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Annual Report / September 30, 2007 199 SCHEDULE OF INVESTMENTS High Yield Bond Fund (Continued) September 30, 2007 - -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) - -------------------------------------------------------------------------------- ING Investment Management VI 0.000%, $ 2,400 $ 2,327 Lightpoint, Ser 2006-4A, Cl IN (A) 0.000%, 04/15/18 2,500 1,442 Marathon, Ser 2005-2A, Cl INC (A) 11.520%, 12/20/19 3,000 2,520 Marlborough Street, Ser 2007-1A, Cl INC 0.000%, 04/18/19 2,400 1,896 Stanfield Bristol, Ser 2005-1A, Cl SUB (A) 0.000%, 10/15/19 6,300 4,095 Stanfield Veyron, Ser 2006-1A, Cl SUB 9.060%, 07/15/18 2,300 1,702 Tralee, Ser 2007-1A, Cl SUB 0.000%, 04/16/22 2,700 2,241 -------------- Total Collateralized Loan Obligations (Cost $77,247) ($ Thousands) 68,662 -------------- COLLATERALIZED DEBT OBLIGATIONS -- 1.4% FINANCIALS -- 1.4% Carlyle High Yield Partners, Ser 2006-8A, Cl N 0.000%, 05/21/21 3,700 2,553 Connecticut Valley Structured Credit, Ser 2006-3A, Cl NOTE (A) 10.930%, 03/23/23 2,200 1,617 Peritus I (E) 9.000%, 05/24/15 3,750 1,312 Peritus I, Ser 2005-1A, Cl C (A) (E) 9.000%, 05/24/15 13,848 11,356 -------------- Total Collateralized Debt Obligations (Cost $19,144) ($ Thousands) 16,838 -------------- ASSET-BACKED SECURITY (A)(D)(H) -- 0.2% MORTGAGE RELATED SECURITY -- 0.2% Duke Funding, Ser 2004-6B, Cl A1S1 5.430%, 10/09/07 2,072 2,072 -------------- Total Asset-Backed Security (Cost $2,072) ($ Thousands) 2,072 -------------- CONVERTIBLE BONDS -- 0.1% Adelphia Recovery Trust, Ser ACC-1 (escrow security) 0.000%, 02/15/04 395 -- American Tower 7.000%, 10/15/17 250 251 Flextronics CV to 64.4122 (G) 1.000%, 08/01/10 1,265 1,205 - -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands)/Shares ($ Thousands) - -------------------------------------------------------------------------------- Huntsman CV to 1.7674 5.000%, 02/16/08 $ 1 $ 30 Mirant CV to 14.7167 (C) (G) 2.500%, 06/15/21 2,200 110 -------------- Total Convertible Bonds (Cost $1,610) ($ Thousands) 1,596 -------------- COMMON STOCK -- 0.3% Armstrong World Industries* 6,214 252 Core-Mark Holding* 13,788 486 Delta Air Lines* 21,231 381 Huntsman 8,061 214 Northwest Airlines* 75,549 1,345 Owens Corning (G)* 28,933 725 Portland General Electric 520 14 Shreveport Gaming Holdings (G)* 13,948 279 Time Warner Cable, Cl A* 7,862 258 UAL (G)* 3,269 152 Winn-Dixie Stores (G)* 8,445 158 -------------- Total Common Stock (Cost $3,913) ($ Thousands) 4,264 -------------- PREFERRED STOCK -- 0.3% ION Media PIK, 14.250%* 1 4 Rockwall Investors, 12.030%* 4,000,000 3,200 Rural Cellular PIK, 12.250%* 374 467 -------------- Total Preferred Stock (Cost $3,974) ($ Thousands) 3,671 -------------- Number of Warrants ------------ WARRANTS -- 0.0% Grande Communications, Expires 04/01/11* 850 8 -------------- Total Warrants (Cost $8) ($ Thousands) 8 -------------- CASH EQUIVALENTS**++ -- 20.6% SEI Daily Income Trust, Prime Obligation Fund, Cl A, 5.350% 81,374,879 81,375 SEI Liquidity Fund LP, 5.367% (H) 175,957,828 175,958 -------------- Total Cash Equivalents (Cost $257,333) ($ Thousands) 257,333 -------------- Total Investments -- 114.8% (Cost $1,462,159) ($ Thousands) $ 1,432,631 ============== - -------------------------------------------------------------------------------- 200 SEI Institutional Managed Trust / Annual Report /September 30, 2007 - -------------------------------------------------------------------------------- Description - -------------------------------------------------------------------------------- Percentages are based on Net Assets of $1,247,613 ($ Thousands). * Non-Income Producing Security. ** Rate shown is the 7-day effective yield as of September 30, 2007. + Real Estate Investment Trust. ++ Investment in Affiliated Security (see Note 3). (A) Securities sold within terms of a private placement memorandum, exempt from registration under Section 144A of the Securities Act of 1933, as amended, and may be sold only to dealers in that program or other "accredited investors." These securities have been determined to be liquid under guidelines established by the Board of Trustees. (B) Step Bonds -- The rate reflected on the Schedule of Investments is the effective yield on September 30, 2007. The coupon on a step bond changes on a specified date. (C) Security in default on interest payments. (D) Variable Rate Security -- The rate reported on the Schedule of Investments is the rate in effect as of September 30, 2007. The date reported on the Schedule of Investments is the next reset date. (E) Securities considered illiquid. The total market value of such securities as of September 30, 2007 was $12,668 ($ Thousands) and represented 1.02% of Net Assets. (F) This security is being held in lieu of possible future payments for a default resolution. (G) This security or a partial position of this security is on loan at September 30, 2007 (see Note 7). The total market value of securities on loan at September 30, 2007 was $171,365 ($ Thousands). (H) This security was purchased with cash collateral held from securities on loan (see Note 7). The total market value of such securities as of September 30, 2007 was $181,070 ($ Thousands). (I) Unfunded bank loan. Interest rate is not available. (J) Unsettled bank loan. Interest rate is not available. Cl -- Class CV -- Convertible Security EXL -- Extendable Maturity LLC -- Limited Liability Company LOC -- Letter of Credit LP -- LImited Partnership MTN -- Medium Term Note PCS -- Personal Communications Service PIK -- Payment-in-Kind PLC -- Public Limited Company Ser -- Series Amounts designated as "--" are $0 or have been rounded to $0. The accompanying notes are an integral part of the financial statements. - -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Annual Report / September 30, 2007 201 Statements of Assets and Liabilities ($ Thousands) September 30, 2007
- ------------------------------------------------------------------------------------------------------------------------------------ LARGE CAP LARGE CAP TAX-MANAGED VALUE FUND GROWTH FUND LARGE CAP FUND - ------------------------------------------------------------------------------------------------------------------------------------ ASSETS: Investments at value+ $ 3,612,653 * $ 3,560,163 * $ 2,820,972 * Affiliated investment, at value++ 436,097 510,847 452,073 Cash 69 4 25 Foreign currency, at value+++ -- -- -- Restricted cash held for securities sold short -- -- -- Receivable for investment securities sold 15,889 11,823 18,473 Receivable for fund shares sold 4,178 3,449 897 Dividends and interest receivable 5,269 2,108 2,944 Receivable for variation margin 2 -- -- Unrealized gain on foreign spot currency contracts -- -- -- Prepaid expenses 17 13 10 - ------------------------------------------------------------------------------------------------------------------------------------ Total Assets 4,074,174 4,088,407 3,295,394 - ------------------------------------------------------------------------------------------------------------------------------------ LIABILITIES: Payable upon return on securities loaned 402,753 411,641 374,082 Payable for securities sold short++++ -- -- -- Payable for investment securities purchased 16,894 14,796 19,364 Payable for fund shares redeemed 6,485 10,701 1,909 Payable for variation margin 113 389 317 Administration fees payable 1,032 1,021 812 Investment advisory fees payable 839 1,004 723 Shareholder servicing fees payable A 619 462 426 Shareholder servicing fees payable I 6 5 -- Shareholder servicing fees payable Y -- -- 1 Chief Compliance Officer fees payable 6 4 4 Administration servicing fees payable Class I 5 4 -- Trustees fees payable 1 1 1 Payable to custodian -- -- -- Swap contracts, at value+++++ -- -- -- Options written, at value# -- -- -- Unrealized loss on foreign spot currency contracts -- -- -- Accrued expense payable 229 220 178 - ------------------------------------------------------------------------------------------------------------------------------------ Total Liabilities 428,982 440,248 397,817 - ------------------------------------------------------------------------------------------------------------------------------------ Net Assets $ 3,645,192 $ 3,648,159 $ 2,897,577 ==================================================================================================================================== + Cost of investments 2,804,656 2,743,607 2,083,636 ++ Cost of affiliated investments 436,097 510,847 452,073 +++ Cost of foreign currency -- -- -- ++++ Proceeds from securities sold short -- -- -- +++++ Premiums received/paid -- -- -- # Premiums received -- -- -- * Includes market value of securities on loan 390,549 400,738 363,051 NET ASSETS: Paid-in-Capital (unlimited authorization -- no par value) $ 2,553,963 $ 3,975,561 $ 2,461,379 Undistributed (distributions in excess of)/ (Accumulated net investment income loss) net investment income 14,943 2,335 6,748 Accumulated net realized gain (loss) on investments, securities sold short, option contracts, futures, swaps and foreign currency 267,447 (1,147,266) (310,500) Net unrealized appreciation on investments, securities sold short and option contracts 807,997 816,556 737,336 Net unrealized appreciation on futures contracts 842 973 2,614 Net unrealized depreciation on swap contracts -- -- -- Net unrealized appreciation (depreciation ) on forward foreign currency contracts, foreign currencies and translation of other assets and liabilities denominated in foreign currencies -- -- -- - ------------------------------------------------------------------------------------------------------------------------------------ Net Assets $ 3,645,192 $ 3,648,159 $ 2,897,577 ==================================================================================================================================== Net Asset Value, Offering and Redemption Price Per Share -- Class A $ 23.97 $ 23.74 $ 14.70 ($3,616,120,211/ ($3,622,963,189/ ($2,892,866,303/ 150,875,810 shares) 152,621,014 shares) 196,797,414 shares) ==================================================================================================================================== Net Asset Value, Offering and Redemption Price Per Share -- Class E N/A N/A N/A ==================================================================================================================================== Net Asset Value, Offering and Redemption Price Per Share -- Class I $ 23.95 $ 23.48 N/A ($29,071,971/ ($25,195,525/ 1,213,992 shares) 1,072,978 shares) ==================================================================================================================================== Net Asset Value, Offering and Redemption Price Per Share -- Class Y N/A N/A $ 14.87 ($4,710,788/ 316,784 shares) ====================================================================================================================================
Amounts designated as "--" are $0 or have been rounded to $0. The accompanying notes are an integral part of the financial statements. - -------------------------------------------------------------------------------- 202 SEI Institutional Managed Trust / Annual Report / September 30, 2007
- ------------------------------------------------------------------------------------------------------------------------------------ LARGE CAP DIVERSIFIED S&P 500 SMALL CAP ALPHA FUND INDEX FUND VALUE FUND - ------------------------------------------------------------------------------------------------------------------------------------ ASSETS: Investments at value+ $ 1,789,571 $ 1,689,504 * $ 1,117,161 * Affiliated investment, at value++ 187,540 204,624 363,629 Cash 810 48 27 Foreign currency, at value+++ -- -- -- Restricted cash held for securities sold short 589 -- -- Receivable for investment securities sold 11,893 1,145 14,059 Receivable for fund shares sold 2,035 398 613 Dividends and interest receivable 2,432 2,068 1,595 Receivable for variation margin 79 -- -- Unrealized gain on foreign spot currency contracts -- -- -- Prepaid expenses 5 16 5 - ------------------------------------------------------------------------------------------------------------------------------------ Total Assets 1,994,954 1,897,803 1,497,089 - ------------------------------------------------------------------------------------------------------------------------------------ LIABILITIES: Payable upon return on securities loaned -- 157,320 344,652 Payable for securities sold short++++ 238,130 -- -- Payable for investment securities purchased 92,777 850 14,028 Payable for fund shares redeemed 730 2,645 1,022 Payable for variation margin 1,536 235 160 Administration fees payable 461 264 323 Investment advisory fees payable 640 42 600 Shareholder servicing fees payable A 117 84 104 Shareholder servicing fees payable I 1 2 3 Shareholder servicing fees payable Y -- -- -- Chief Compliance Officer fees payable 2 5 2 Administration servicing fees payable Class I 1 3 3 Trustees fees payable -- -- -- Payable to custodian -- -- -- Swap contracts, at value+++++ 5,581 -- -- Options written, at value# 42 -- -- Unrealized loss on foreign spot currency contracts -- -- -- Accrued expense payable 95 187 76 - ------------------------------------------------------------------------------------------------------------------------------------ Total Liabilities 340,113 161,637 360,973 - ------------------------------------------------------------------------------------------------------------------------------------ Net Assets $ 1,654,841 $ 1,736,166 $ 1,136,116 ==================================================================================================================================== + Cost of investments 1,641,926 744,412 993,600 ++ Cost of affiliated investments 187,540 204,624 363,629 +++ Cost of foreign currency -- -- -- ++++ Proceeds from securities sold short 233,795 -- -- +++++ Premiums received/paid (3,135) -- -- # Premiums received (7) -- -- * Includes market value of securities on loan -- 152,953 330,189 NET ASSETS: Paid-in-Capital (unlimited authorization -- no par value) $ 1,461,156 $ 712,828 $ 892,411 Undistributed (distributions in excess of)/ (Accumulated net investment income loss) net investment income 4,550 7,544 (898) Accumulated net realized gain (loss) on investments, securities sold short, option contracts, futures, swaps and foreign currency 37,805 69,034 120,336 Net unrealized appreciation on investments, securities sold short and option contracts 143,275 945,092 123,561 Net unrealized appreciation on futures contracts 10,502 1,668 706 Net unrealized depreciation on swap contracts (2,446) -- -- Net unrealized appreciation (depreciation) on forward foreign currency contracts, foreign currencies and translation of other assets and liabilities denominated in foreign currencies (1) -- -- - ------------------------------------------------------------------------------------------------------------------------------------ Net Assets $ 1,654,841 $ 1,736,166 $ 1,136,116 ==================================================================================================================================== Net Asset Value, Offering and Redemption Price Per Share -- Class A $ 11.78 $ 44.71 $ 21.26 ($1,654,323,745/ ($650,792,208/ ($1,122,026,942/ 140,424,761 shares) 14,556,470 shares) 52,767,611 shares) ==================================================================================================================================== Net Asset Value, Offering and Redemption Price Per Share -- Class E N/A $ 44.85 N/A ($1,072,140,875/ 23,905,034 shares) ==================================================================================================================================== Net Asset Value, Offering and Redemption Price Per Share -- Class I $ 11.78 $ 44.74 $ 21.17 ($517,084/ ($13,232,852/ ($14,089,535/ 43,905 shares) 295,754 shares) 665,618 shares) ==================================================================================================================================== Net Asset Value, Offering and Redemption Price Per Share -- Class Y N/A N/A N/A ==================================================================================================================================== - --------------------------------------------------------------------------------------------------------- SMALL CAP TAX-MANAGED GROWTH FUND SMALL CAP FUND - --------------------------------------------------------------------------------------------------------- ASSETS: Investments at value+ 1,150,781 * $ 402,009* Affiliated investment, at value++ 399,232 125,700 Cash -- 349 Foreign currency, at value+++ 4 -- Restricted cash held for securities sold short -- -- Receivable for investment securities sold 19,066 2,342 Receivable for fund shares sold 650 218 Dividends and interest receivable 1,602 354 Receivable for variation margin -- -- Unrealized gain on foreign spot currency contracts 2 -- Prepaid expenses 4 1 - --------------------------------------------------------------------------------------------------------- Total Assets 1,571,341 530,973 - --------------------------------------------------------------------------------------------------------- LIABILITIES: Payable upon return on securities loaned 382,910 109,875 Payable for securities sold short++++ -- -- Payable for investment securities purchased 22,362 3,450 Payable for fund shares redeemed 931 216 Payable for variation margin 75 87 Administration fees payable 327 117 Investment advisory fees payable 601 170 Shareholder servicing fees payable A 98 82 Shareholder servicing fees payable I 2 -- Shareholder servicing fees payable Y -- -- Chief Compliance Officer fees payable 2 1 Administration servicing fees payable Class I 2 -- Trustees fees payable -- -- Payable to custodian 617 -- Swap contracts, at value+++++ -- -- Options written, at value# -- -- Unrealized loss on foreign spot currency contracts 14 -- Accrued expense payable 77 30 - --------------------------------------------------------------------------------------------------------- Total Liabilities 408,018 114,028 - --------------------------------------------------------------------------------------------------------- Net Assets $ 1,163,323 $ 416,945 ========================================================================================================= + Cost of investments 1,027,287 332,391 ++ Cost of affiliated investments 399,232 125,700 +++ Cost of foreign currency 4 -- ++++ Proceeds from securities sold short -- -- +++++ Premiums received/paid -- -- # Premiums received -- -- * Includes market value of securities on loan 367,102 106,335 NET ASSETS: Paid-in-Capital (unlimited authorization -- no par value) $ 983,397 $ 327,762 Undistributed (distributions in excess of)/ (Accumulated net investment income loss) net investment income (1,655) 85 Accumulated net realized gain (loss) on investments, securities sold short, option contracts, futures, swaps and foreign currency 57,707 19,025 Net unrealized appreciation on investments, securities sold short and option contracts 123,494 69,618 Net unrealized appreciation on futures contracts 324 455 Net unrealized depreciation on swap contracts -- -- Net unrealized appreciation (depreciation ) on forward foreign currency contracts, foreign currencies and translation of other assets and liabilities denominated in foreign currencies 56 -- - --------------------------------------------------------------------------------------------------------- Net Assets $ 1,163,323 $ 416,945 ========================================================================================================= Net Asset Value, Offering and Redemption Price Per Share -- Class A $ 21.91 $ 14.14 ($1,153,999,911/ ($416,945,235/ 52,659,311 shares) 29,485,536 shares) ========================================================================================================= Net Asset Value, Offering and Redemption Price Per Share -- Class E N/A N/A ========================================================================================================= Net Asset Value, Offering and Redemption Price Per Share -- Class I $ 21.57 N/A ($9,322,933/ 432,197 shares) ========================================================================================================= Net Asset Value, Offering and Redemption Price Per Share -- Class Y N/A N/A =========================================================================================================
- -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Annual Report / September 30, 2007 203 Statements of Assets and Liabilities ($ Thousands) September 30, 2007
- ------------------------------------------------------------------------------------------------------------------------------------ SMALL/MID CAP MID-CAP U.S. MANAGED DIVERSIFIED ALPHA FUND FUND VOLATILITY FUND - ------------------------------------------------------------------------------------------------------------------------------------ ASSETS: Investments at value+ $ 142,157 $ 179,921 $ 554,307 Repurchase agreement+ -- -- -- Affiliated investment, at value++ 10,566 2,936 30,821 Cash -- 26 100 Foreign currency, at value+++ -- -- -- Cash collateral on futures -- -- -- Restricted Cash held for Securities Sold Short 390 -- -- Receivable for investment securities sold 12,886 3,140 Receivable for fund shares sold 215 516 931 Dividends and interest receivable 253 180 660 Receivable for variation margin 7 -- -- Unrealized appreciation on futures -- -- -- Unrealized gain on forward foreign currency contracts -- -- -- Prepaid Expenses 11 -- -- - ------------------------------------------------------------------------------------------------------------------------------------ Total Assets 166,485 186,719 586,819 - ------------------------------------------------------------------------------------------------------------------------------------ LIABILITIES: Payable upon return on securities loaned -- -- -- Payable for securities sold short++++ 7,706 -- -- Payable for investment securities purchased 25,493 3,189 -- Payable for fund shares redeemed 35 75 374 Payable for variation margin 168 9 98 Administration fees payable 36 52 164 Investment advisory fees payable 61 59 184 Shareholder servicing fees payable A 15 33 110 Shareholder servicing fees payable I -- -- -- Chief Compliance Officer fees payable -- -- 1 Administration servicing fees payable Class I -- -- -- Payable to custodian 17 -- -- Income distribution payable -- -- -- Swap contracts, at value+++++ 2,229 -- -- Options written, at value# 7 -- -- Swaptions written, at value@ -- -- -- Unrealized loss on forward foreign currency contracts -- -- -- Unrealized loss on futures -- -- -- Unrealized loss on foreign spot currency contracts 1 -- -- Accrued expense payable 10 15 29 - ------------------------------------------------------------------------------------------------------------------------------------ Total Liabilities 35,778 3,432 960 - ------------------------------------------------------------------------------------------------------------------------------------ Net Assets $ 130,707 $ 183,287 $ 585,859 - ------------------------------------------------------------------------------------------------------------------------------------ + Cost of investments and repurchase agreements 141,479 172,700 505,815 ++ Cost of affiliated investments 10,566 2,936 30,821 +++ Cost of foreign currency -- -- -- ++++ Proceeds from securities sold short (8,591) -- -- +++++ Premiums received/paid (1,073) -- -- # Premiums received (1) -- -- @ Premiums received -- -- -- * Includes market value of securities on loan -- -- -- NET ASSETS: Paid-in-Capital (unlimited authorization -- no par value) $ 131,417 $ 159,306 $ 519,887 Undistributed (distributions in excess of) net investment income 29 38 944 Accumulated net realized gain (loss) on investments, securities sold short, option contracts, futures, swaps, swaptions and foreign currency (1,277) 16,652 15,807 Net unrealized appreciation (depreciation) on investments, securities sold short and option contracts 1,557 7,221 48,492 Net unrealized appreciation (depreciation) on futures contracts 137 70 729 Net unrealized depreciation on swap contracts (1,156) -- -- Net unrealized depreciation on swaptions -- -- -- Net unrealized appreciation (depreciation) on forward foreign currency contracts, foreign currencies and translation of other assets and liabilities denominated in foreign currencies -- -- -- - ------------------------------------------------------------------------------------------------------------------------------------ Net Assets $ 130,707 $ 183,287 $ 585,859 - ------------------------------------------------------------------------------------------------------------------------------------ Net Asset Value, Offering and Redemption Price Per Share -- Class A $ 10.10 $ 22.22 $ 13.45 ($130,706,938 / ($183,286,934 / ($585,858,420 / 12,938,712 shares) 8,250,400 shares) 43,565,914 shares) ==================================================================================================================================== Net Asset Value, Offering and Redemption Price Per Share -- Class I N/A N/A $ 13.43 ($997 / 74 shares) ====================================================================================================================================
Amounts designated as "--" are $0 or have been rounded to $0. The accompanying notes are an integral part of the financial statements. - -------------------------------------------------------------------------------- 204 SEI Institutional Managed Trust / Annual Report / September 30, 2007
- ------------------------------------------------------------------------------------------------------------------------------------ GLOBAL MANAGED REAL ESTATE ENHANCED VOLATILITY FUND FUND INCOME FUND - ------------------------------------------------------------------------------------------------------------------------------------ ASSETS: Investments at value+ $ 264,996 $238,794* $ 587,154 Repurchase agreement+ -- -- 12,800 Affiliated investment, at value++ 8,158 79,682 35,252 Cash 1,257 2 462 Foreign currency, at value+++ 880 -- -- Cash collateral on futures -- -- 410 Restricted Cash held for Securities Sold Short -- -- -- Receivable for investment securities sold -- 570 4,195 Receivable for fund shares sold 879 420 2,188 Dividends and interest receivable 763 991 3,681 Receivable for variation margin 7 -- 181,872 Unrealized appreciation on futures -- -- -- Unrealized gain on forward foreign currency contracts 336 -- 3,384 Prepaid Expenses -- 1 1 - ------------------------------------------------------------------------------------------------------------------------------------ Total Assets 277,276 320,460 831,399 - ------------------------------------------------------------------------------------------------------------------------------------ LIABILITIES: Payable upon return on securities loaned -- 72,825 -- Payable for securities sold short++++ -- -- -- Payable for investment securities purchased -- 2,178 19,427 Payable for fund shares redeemed 401 235 2,149 Payable for variation margin 24 -- 150,485 Administration fees payable -- 68 176 Investment advisory fees payable 97 120 96 Shareholder servicing fees payable A 55 25 -- Shareholder servicing fees payable I -- -- -- Chief Compliance Officer fees payable -- 1 -- Administration servicing fees payable Class I 78 -- -- Payable to custodian -- -- -- Income distribution payable -- -- -- Swap contracts, at value+++++ -- -- 1,260 Options written, at value# -- -- -- Swaptions written, at value@ -- -- -- Unrealized loss on forward foreign currency contracts 838 -- 5,524 Unrealized loss on futures -- -- 31,305 Unrealized loss on foreign spot currency contracts -- -- -- Accrued expense payable 34 17 35 - ------------------------------------------------------------------------------------------------------------------------------------ Total Liabilities 1,527 75,469 210,457 - ------------------------------------------------------------------------------------------------------------------------------------ Net Assets $ 275,749 $244,991 $ 620,942 - ------------------------------------------------------------------------------------------------------------------------------------ + Cost of investments and repurchase agreements 250,634 207,105 614,924 ++ Cost of affiliated investments 8,158 79,682 35,252 +++ Cost of foreign currency 867 -- -- ++++ Proceeds from securities sold short -- -- -- +++++ Premiums received/paid -- -- 49 # Premiums received -- -- -- @ Premiums received -- -- -- * Includes market value of securities on loan -- 70,960 -- NET ASSETS: Paid-in-Capital (unlimited authorization -- no par value) $ 263,243 $202,962 $ 632,964 Undistributed (distributions in excess of) net investment income (3,844) 2,518 9,839 Accumulated net realized gain (loss) on investments, securities sold short, option contracts, futures, swaps, swaptions and foreign currency 2,203 7,821 (3,337) Net unrealized appreciation (depreciation) on investments, securities sold short and option contracts 14,362 31,689 (14,970) Net unrealized appreciation (depreciation) on futures contracts 263 -- (109) Net unrealized depreciation on swap contracts -- -- (1,309) Net unrealized depreciation on swaptions -- -- -- Net unrealized appreciation (depreciation) on forward foreign currency contracts, foreign currencies and translation of other assets and liabilities denominated in foreign currencies (478) 1 (2,136) - ------------------------------------------------------------------------------------------------------------------------------------ Net Assets $ 275,749 $244,991 $ 620,942 - ------------------------------------------------------------------------------------------------------------------------------------ Net Asset Value, Offering and Redemption Price Per Share -- Class A $ 11.22 $ 18.20 $ 9.92 ($275,747,795 / ($244,990,998 / ($620,930,801 / 24,572,413 shares) 13,458,639 shares) 62,593,544 shares) ==================================================================================================================================== Net Asset Value, Offering and Redemption Price Per Share -- Class I $ 11.20 N/A $ 9.91 ($978 / ($11,639 / 87 shares) 1,174 shares) ==================================================================================================================================== - ----------------------------------------------------------------------------------------------------------------------------- CORE FIXED HIGH YIELD INCOME FUND BOND FUND - ----------------------------------------------------------------------------------------------------------------------------- ASSETS: Investments at value+ $ 5,199,438* $ 1,175,298* Repurchase agreement+ 309,500 -- Affiliated investment, at value++ 835,567 257,333 Cash 5,234 -- Foreign currency, at value+++ -- -- Cash collateral on futures -- -- Restricted Cash held for Securities Sold Short -- -- Receivable for investment securities sold 733,134 10,833 Receivable for fund shares sold 5,347 1,301 Dividends and interest receivable 32,333 25,672 Receivable for variation margin 497 -- Unrealized appreciation on futures 4,680 -- Unrealized gain on forward foreign currency contracts 679 -- Prepaid Expenses 16 4 - ----------------------------------------------------------------------------------------------------------------------------- Total Assets 7,126,425 1,470,441 - ----------------------------------------------------------------------------------------------------------------------------- LIABILITIES: Payable upon return on securities loaned 749,396 181,070 Payable for securities sold short++++ -- -- Payable for investment securities purchased 1,712,804 35,040 Payable for fund shares redeemed 4,210 2,512 Payable for variation margin 857 -- Administration fees payable 1,052 351 Investment advisory fees payable 975 426 Shareholder servicing fees payable A 293 48 Shareholder servicing fees payable I 2 -- Chief Compliance Officer fees payable -- 2 Administration servicing fees payable Class I 2 -- Payable to custodian -- 2,662 Income distribution payable 973 610 Swap contracts, at value+++++ 32,678 -- Options written, at value# 1,221 -- Swaptions written, at value@ 2,905 -- Unrealized loss on forward foreign currency contracts 433 -- Unrealized loss on futures 4,683 -- Unrealized loss on foreign spot currency contracts -- -- Accrued expense payable 422 107 - ----------------------------------------------------------------------------------------------------------------------------- Total Liabilities 2,512,906 222,828 - ----------------------------------------------------------------------------------------------------------------------------- Net Assets $ 4,613,519 $ 1,247,613 - ----------------------------------------------------------------------------------------------------------------------------- + Cost of investments and repurchase agreements 5,514,832 1,204,826 ++ Cost of affiliated investments 835,567 257,333 +++ Cost of foreign currency -- -- ++++ Proceeds from securities sold short -- -- +++++ Premiums received/paid (22,823) -- # Premiums received (1,344) -- @ Premiums received (2,255) -- * Includes market value of securities on loan 721,687 171,365 NET ASSETS: Paid-in-Capital (unlimited authorization -- no par value) $ 4,701,410 $ 1,440,134 Undistributed (distributions in excess of) net investment income (6,273) 624 Accumulated net realized gain (loss) on investments, securities sold short, option contracts, futures, swaps, swaptions and foreign currency (69,903) (163,617) Net unrealized appreciation (depreciation) on investments, securities sold short and option contracts (5,771) (29,528) Net unrealized appreciation (depreciation) on futures contracts 4,568 -- Net unrealized depreciation on swap contracts (9,855) -- Net unrealized depreciation on swaptions (650) -- Net unrealized appreciation (depreciation) on forward foreign currency contracts, foreign currencies and translation of other assets and liabilities denominated in foreign currencies (7) -- - ----------------------------------------------------------------------------------------------------------------------------- Net Assets $ 4,613,519 $ 1,247,613 - ----------------------------------------------------------------------------------------------------------------------------- Net Asset Value, Offering and Redemption Price Per Share -- Class A $ 10.19 $ 8.26 ($4,600,629,562 / ($1,247,613,016 / 451,281,757 shares) 151,096,845 shares) ============================================================================================================================= Net Asset Value, Offering and Redemption Price Per Share -- Class I $ 10.19 N/A ($12,889,733 / 1,264,507 shares) =============================================================================================================================
- -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Annual Report / September 30, 2007 205 Statements of Operations ($ Thousands) For the year or period ended September 30, 2007
- --------------------------------------------------------------------------------------------------------------------- LARGE CAP LARGE CAP TAX-MANAGED VALUE FUND GROWTH FUND LARGE CAP FUND - --------------------------------------------------------------------------------------------------------------------- INVESTMENT INCOME: Dividends $ 94,054 $ 35,809 $ 46,113 Dividends from Affiliated Security* 2,987 2,512 3,492 Interest Income 113 584 372 Income from Securities Lending 621 382 349 Less: Foreign Taxes Withheld (92) (9) (48) - --------------------------------------------------------------------------------------------------------------------- Total Investment Income 97,683 39,278 50,278 - --------------------------------------------------------------------------------------------------------------------- EXPENSES: Investment Advisory Fees 13,168 14,007 10,715 Administration Fees 13,168 12,257 9,366 Shareholder Servicing Fees (A) 9,325 8,686 6,685 Shareholder Servicing Fees (E) -- -- -- Shareholder Servicing Fees (I) 81 69 -- Shareholder Servicing Fees (Y) -- -- 7 Administration Servicing Fees (I) 81 69 -- Trustee Fees 51 48 36 Printing Fees 269 191 151 Custodian/Wire Agent Fees 251 166 138 Professional Fees 191 128 100 Registration Fees 22 52 35 Chief Compliance Officer Fees 21 18 14 Licensing Fees -- -- -- Dividend Expense -- -- -- Interest Expense on Securities Sold Short -- -- -- Other Expenses 81 70 53 - --------------------------------------------------------------------------------------------------------------------- Total Expenses 36,709 35,761 27,300 - --------------------------------------------------------------------------------------------------------------------- Less: Waiver of: Investment Advisory Fees (2,501) (1,961) (2,391) Administration Fees -- -- -- Shareholder Servicing Fees (A) (1,707) (3,416) (1,808) Shareholder Servicing Fees (E) -- -- -- Shareholder Servicing Fees (I) (14) (28) -- Shareholder Servicing Fees (Y) -- -- (3) Fees Paid Indirectly (48) (169) (76) - --------------------------------------------------------------------------------------------------------------------- Net Expenses 32,439 30,187 23,022 - --------------------------------------------------------------------------------------------------------------------- NET INVESTMENT INCOME (LOSS) 65,244 9,091 27,256 ===================================================================================================================== NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS: NET REALIZED GAIN (LOSS) ON: Investments 382,385 230,873 133,398 Securities Sold Short -- -- -- Futures Contracts 5,223 4,448 2,243 Written Options -- -- -- Swap Contracts -- -- -- Foreign Currency Transactions -- -- -- NET CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) ON: Investments 41,317 372,361 248,562 Securities Sold Short -- -- -- Futures Contracts (335) 198 2,069 Written Options -- -- -- Swap Contracts -- -- -- Foreign Currency and Translation of Other Assets and Liabilities Denominated in Foreign Currency -- -- -- - --------------------------------------------------------------------------------------------------------------------- NET INCREASE IN NET ASSETS FROM OPERATIONS $ 493,834 $ 616,971 $ 413,528 =====================================================================================================================
Amounts designated as "--" are $0 or have been rounded to $0. * See Note 3 in Notes to Financial Statements. (1) For the six months ended September 30, 2007. Effective September 14, 2007, the Fund's fiscal year end changed from March 31 to September 30. (2) On September 14, 2007, the SEI Institutional Managed Trust acquired the assets of the SEI S&P 500 Index Fund in a tax-free reorganization. See Shareholder Voting Results on page 243. (3) Includes realized gain of $4,368 ($ Thousands) due to in-kind redemptions (see Note 9). - -------------------------------------------------------------------------------- 206 SEI Institutional Managed Trust / Annual Report / September 30, 2007
- --------------------------------------------------------------------------------------------------------------- S&P 500 INDEX FUND ------------------------- SIX MONTHS YEAR LARGE CAP DIVERSIFIED ENDED ENDED ALPHA FUND 09/30/07(1)(2) 03/31/07 - --------------------------------------------------------------------------------------------------------------- INVESTMENT INCOME: Dividends $ 17,321 $ 16,025 $ 37,175 Dividends from Affiliated Security* 4,135 980 2,084 Interest Income 12,211 -- 142 Income from Securities Lending -- 67 259 Less: Foreign Taxes Withheld (31) -- -- - --------------------------------------------------------------------------------------------------------------- Total Investment Income 33,636 17,072 39,660 - --------------------------------------------------------------------------------------------------------------- EXPENSES: Investment Advisory Fees 5,597 263 597 Administration Fees 4,787 1,926 4,379 Shareholder Servicing Fees (A) 3,418 483 909 Shareholder Servicing Fees (E) -- 1,365 3,427 Shareholder Servicing Fees (I) 1 18 34 Shareholder Servicing Fees (Y) -- -- -- Administration Servicing Fees (I) 1 18 34 Trustee Fees 18 9 26 Printing Fees 78 41 86 Custodian/Wire Agent Fees 73 27 90 Professional Fees 55 92 204 Registration Fees 17 29 50 Chief Compliance Officer Fees 8 5 -- Licensing Fees -- 30 62 Dividend Expense 2,620 -- -- Interest Expense on Securities Sold Short 1,099 -- -- Other Expenses 31 26 75 - --------------------------------------------------------------------------------------------------------------- Total Expenses 17,803 4,332 9,973 - --------------------------------------------------------------------------------------------------------------- Less: Waiver of: Investment Advisory Fees (99) -- -- Administration Fees -- (261) (592) Shareholder Servicing Fees (A) (988) -- -- Shareholder Servicing Fees (E) -- (1,365) (3,427) Shareholder Servicing Fees (I) -- (7) (14) Shareholder Servicing Fees (Y) -- -- -- Fees Paid Indirectly -- -- -- - --------------------------------------------------------------------------------------------------------------- Net Expenses 16,716 2,699 5,940 - --------------------------------------------------------------------------------------------------------------- NET INVESTMENT INCOME (LOSS) 16,920 14,373 33,720 =============================================================================================================== NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS: NET REALIZED GAIN (LOSS) ON: Investments 29,512 70,823 24,408(3) Securities Sold Short 16,188 -- -- Futures Contracts 18,903 1,259 2,431 Written Options 71 -- -- Swap Contracts (4,854) -- -- Foreign Currency Transactions (1) -- -- NET CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) ON: Investments 113,025 57,654 144,650 Securities Sold Short (7,910) -- -- Futures Contracts 5,763 1,310 105 Written Options (49) -- -- Swap Contracts (2,507) -- -- Foreign Currency and Translation of Other Assets and Liabilities Denominated in Foreign Currency 1 -- -- - --------------------------------------------------------------------------------------------------------------- NET INCREASE IN NET ASSETS FROM OPERATIONS $ 185,062 $ 145,419 $ 205,314 =============================================================================================================== - ---------------------------------------------------------------------------------------------------------- SMALL CAP SMALL CAP TAX-MANAGED VALUE FUND GROWTH FUND SMALL CAP FUND - ---------------------------------------------------------------------------------------------------------- INVESTMENT INCOME: Dividends $ 12,512 $ 5,028 $ 4,010 Dividends from Affiliated Security* 2,198 1,363 947 Interest Income 187 202 32 Income from Securities Lending 745 1,765 402 Less: Foreign Taxes Withheld (25) (543) (12) - ---------------------------------------------------------------------------------------------------------- Total Investment Income 15,617 7,815 5,379 - ---------------------------------------------------------------------------------------------------------- EXPENSES: Investment Advisory Fees 7,815 7,515 2,462 Administration Fees 4,208 4,047 1,325 Shareholder Servicing Fees (A) 2,967 2,861 947 Shareholder Servicing Fees (E) -- -- -- Shareholder Servicing Fees (I) 39 30 -- Shareholder Servicing Fees (Y) -- -- -- Administration Servicing Fees (I) 39 30 -- Trustee Fees 16 16 5 Printing Fees 66 65 22 Custodian/Wire Agent Fees 63 76 20 Professional Fees 42 46 15 Registration Fees 16 16 5 Chief Compliance Officer Fees 7 6 2 Licensing Fees -- -- -- Dividend Expense -- -- -- Interest Expense on Securities Sold Short -- -- -- Other Expenses 28 27 16 - ---------------------------------------------------------------------------------------------------------- Total Expenses 15,306 14,735 4,819 - ---------------------------------------------------------------------------------------------------------- Less: Waiver of: Investment Advisory Fees (24) (111) (504) Administration Fees -- -- -- Shareholder Servicing Fees (A) (1,682) (1,535) (3) Shareholder Servicing Fees (E) -- -- -- Shareholder Servicing Fees (I) (22) (16) -- Shareholder Servicing Fees (Y) -- -- -- Fees Paid Indirectly (193) (206) (108) - ---------------------------------------------------------------------------------------------------------- Net Expenses 13,385 12,867 4,204 - ---------------------------------------------------------------------------------------------------------- NET INVESTMENT INCOME (LOSS) 2,232 (5,052) 1,175 ========================================================================================================== NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS: NET REALIZED GAIN (LOSS) ON: Investments 157,544(4) 114,578(5) 24,544 Securities Sold Short -- -- -- Futures Contracts 3,797 2,769 948 Written Options -- -- -- Swap Contracts -- -- -- Foreign Currency Transactions (4) (293) -- NET CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) ON: Investments (39,693) 79,792 24,966 Securities Sold Short -- -- -- Futures Contracts (36) (209) 156 Written Options -- -- -- Swap Contracts -- -- -- Foreign Currency and Translation of Other Assets and Liabilities Denominated in Foreign Currency -- 56 -- - ---------------------------------------------------------------------------------------------------------- NET INCREASE IN NET ASSETS FROM OPERATIONS $ 123,840 $ 191,641 $ 51,789 ==========================================================================================================
(4) Includes realized gains of $2,168 ($ Thousands) due to in-kind redemptions (see Note 9). (5) Includes realized loss of $4,305 ($ Thousands) due to in-kind redemptions (see Note 9). The accompanying notes are an integral part of the financial statements. - -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Annual Report / September 30, 2007 207 Statements of Operations ($ Thousands) For the year or period ended September 30, 2007
- ---------------------------------------------------------------------------------------------------------------------- SMALL/MID CAP MID-CAP U.S. MANAGED DIVERSIFIED ALPHA FUND(1) FUND VOLATILITY FUND - ---------------------------------------------------------------------------------------------------------------------- INVESTMENT INCOME: Dividends $ 737 $ 1,871 $ 8,438 Dividends from Affiliated Security* 471 240 1,403 Interest Income 860 10 74 Income from Securities Lending -- 9 -- Less: Foreign Taxes Withheld (3) -- (48) - ---------------------------------------------------------------------------------------------------------------------- Total Investment Income 2,065 2,130 9,867 - ---------------------------------------------------------------------------------------------------------------------- EXPENSES: Investment Advisory Fees 596 673 2,867 Administration Fees 278 589 1,544 Shareholder Servicing Fees (A) 199 421 1,103 Shareholder Servicing Fees (I) -- -- -- Administration Servicing Fees (I) -- -- -- Trustee Fees 1 2 6 Dividend Expense 61 -- -- Interest Expense on Securities Sold Short 35 -- -- Registration Fees 24 4 6 Custodian/Wire Agent Fees 12 10 21 Printing Fees 5 11 25 Professional Fees 3 7 18 Chief Compliance Officer Fees -- 1 2 Overdraft fees -- -- -- Other Expenses 5 3 7 - ---------------------------------------------------------------------------------------------------------------------- Total Expenses 1,219 1,721 5,599 - ---------------------------------------------------------------------------------------------------------------------- Less: Waiver of: Investment Advisory Fees (136) (2) (920) Shareholder Servicing Fees (A) (34) (19) (76) Shareholder Servicing Fees (I) -- -- -- Fees Paid Indirectly (1) -- -- - ---------------------------------------------------------------------------------------------------------------------- Net Expenses 1,048 1,700 4,603 - ---------------------------------------------------------------------------------------------------------------------- NET INVESTMENT INCOME 1,017 430 5,264 - ---------------------------------------------------------------------------------------------------------------------- NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS: NET REALIZED GAIN (LOSS) ON: Investments (1,747) 22,529 19,753 Futures Contracts 517 (333) 486 Written Options -- -- -- Swap Contracts (332) -- -- Foreign Currency Transactions (4) -- -- NET CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) ON: Investments 678 (655) 32,169 Securities Sold Short 885 -- -- Futures Contracts 137 74 492 Written Options (6) -- -- Swaptions -- -- -- Swap Contracts (1,156) -- -- Foreign Currency and Translation of Other Assets and Liabilities Denominated in Foreign Currency -- -- -- - ---------------------------------------------------------------------------------------------------------------------- NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS $ (11) $ 22,045 $ 58,164 ======================================================================================================================
Amounts designated as "--" are $0 or have been rounded to $0. * See Note 3 in Notes to Financial Statements. (1) The Small/Mid Cap Diversified Alpha Fund commenced operations on December 20, 2006. The accompanying notes are an integral part of the financial statements. - -------------------------------------------------------------------------------- 208 SEI Institutional Managed Trust / Annual Report / September 30, 2007
- ------------------------------------------------------------------------------------------------------------------------------------ GLOBAL MANAGED REAL ESTATE ENHANCED CORE FIXED HIGH YIELD VOLATILITY FUND FUND INCOME FUND INCOME FUND BOND FUND - ------------------------------------------------------------------------------------------------------------------------------------ INVESTMENT INCOME: Dividends $ 5,064 $ 5,702 $ 84 $ -- $ 10,615 Dividends from Affiliated Security* 482 539 1,843 2,310 2,327 Interest Income 41 -- 28,242 238,856 89,326 Income from Securities Lending -- 28 -- 1,115 471 Less: Foreign Taxes Withheld (351) (15) (2) (92) -- - ------------------------------------------------------------------------------------------------------------------------------------ Total Investment Income 5,236 6,254 30,167 242,189 102,739 - ------------------------------------------------------------------------------------------------------------------------------------ EXPENSES: Investment Advisory Fees 1,272 1,527 1,923 12,056 5,726 Administration Fees 685 822 1,683 12,275 4,111 Shareholder Servicing Fees (A) 489 587 1,202 10,926 2,936 Shareholder Servicing Fees (I) -- -- -- 34 -- Administration Servicing Fees (I) -- -- -- 34 -- Trustee Fees 3 3 6 59 16 Dividend Expense -- -- -- -- -- Interest Expense on Securities Sold Short -- -- -- -- -- Registration Fees 3 4 5 60 20 Custodian/Wire Agent Fees 79 14 26 255 58 Printing Fees 12 14 28 237 70 Professional Fees 8 10 19 168 49 Chief Compliance Officer Fees 1 1 3 -- 7 Overdraft fees 9 -- -- -- -- Other Expenses 20 4 60 596 156 - ------------------------------------------------------------------------------------------------------------------------------------ Total Expenses 2,581 2,986 4,955 36,700 13,149 - ------------------------------------------------------------------------------------------------------------------------------------ Less: Waiver of: Investment Advisory Fees (401) (78) (868) (518) (915) Shareholder Servicing Fees (A) (1) (278) (1,202) (8,053) (2,133) Shareholder Servicing Fees (I) -- -- -- (25) -- Fees Paid Indirectly -- (22) -- -- -- - ------------------------------------------------------------------------------------------------------------------------------------ Net Expenses 2,179 2,608 2,885 28,104 10,101 - ------------------------------------------------------------------------------------------------------------------------------------ NET INVESTMENT INCOME 3,057 3,646 27,282 214,085 92,638 - ------------------------------------------------------------------------------------------------------------------------------------ NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS: NET REALIZED GAIN (LOSS) ON: Investments 5,787 12,360 (1,527) 4,958 6,265 Futures Contracts (872) -- (1,556) 247 -- Written Options -- -- -- 1,957 -- Swap Contracts -- -- (659) (9,572) 985 Foreign Currency Transactions (7,134) (4) 2,747 -- -- NET CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) ON: Investments 12,258 (5,812) (15,312) (31,390) (25,104) Securities Sold Short -- -- -- -- -- Futures Contracts 194 -- 106 3,482 -- Written Options -- -- -- 737 -- Swaptions -- -- -- (650) -- Swap Contracts -- -- (1,309) (9,751) (967) Foreign Currency and Translation of Other Assets and Liabilities Denominated in Foreign Currency (743) 1 (2,542) 417 -- - ------------------------------------------------------------------------------------------------------------------------------------ NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS $ 12,547 $ 10,191 $ 7,230 $ 174,520 $ 73,817 ====================================================================================================================================
- -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Annual Report / September 30, 2007 209 Statements of Changes in Net Assets ($ Thousands) For the years or period ended September 30,
- ------------------------------------------------------------------------------------------------------------------------------------ LARGE CAP LARGE CAP TAX-MANAGED VALUE FUND GROWTH FUND LARGE CAP FUND - ------------------------------------------------------------------------------------------------------------------------------------ 2007 2006 2007 2006 2007 2006 - ------------------------------------------------------------------------------------------------------------------------------------ OPERATIONS: Net Investment Income (Loss) $ 65,244 $ 64,301 $ 9,091 $ 6,461 $ 27,256 $ 20,700 Net Realized Gain (Loss) from Investments, Securities Sold Short, Futures Contracts, Written Options and Swap Contracts 387,608 342,943 235,321 129,685 135,641 60,244 Net Realized Loss on Foreign Currency Transactions -- -- -- -- -- -- Net Change in Unrealized Appreciation (Depreciation) on Investments, Securities Sold Short, Futures Contracts, Written Options and Swap Contracts 40,982 78,903 372,559 28,030 250,631 105,956 Net Change in Unrealized Appreciation (Depreciation) on Foreign Currency and Translation of Other Assets and Liabilities Denominated in Foreign Currency -- -- -- -- -- -- - ------------------------------------------------------------------------------------------------------------------------------------ Net Increase in Net Assets from Operations 493,834 486,147 616,971 164,176 413,528 186,900 - ------------------------------------------------------------------------------------------------------------------------------------ DIVIDENDS AND DISTRIBUTIONS FROM: Net Investment Income: Class A (65,236) (64,544) (7,660) (6,263) (25,173) (19,618) Class E -- -- -- -- -- -- Class I (491) (381) (5) -- -- -- Class Y -- -- -- -- (48) (46) Net Realized Gains: Class A (341,377) (246,892) -- -- -- -- Class E -- -- -- -- -- -- Class I (2,981) (1,453) -- -- -- -- - ------------------------------------------------------------------------------------------------------------------------------------ Total Dividends and Distributions (410,085) (313,270) (7,665) (6,263) (25,221) (19,664) - ------------------------------------------------------------------------------------------------------------------------------------ CAPITAL SHARE TRANSACTIONS(1): Class A: Proceeds from Shares Issued 539,733 590,885 541,381 645,544 517,527 412,756 Reinvestment of Dividends & Distributions 380,665 295,797 7,269 5,960 23,768 18,614 Cost of Shares Redeemed (1,149,311) (1,526,556) (917,952) (1,425,125) (409,521) (397,596) - ------------------------------------------------------------------------------------------------------------------------------------ Increase (Decrease) in Net Assets Derived from Class A Transactions (228,913) (639,874) (369,302) (773,621) 131,774 33,774 - ------------------------------------------------------------------------------------------------------------------------------------ Class E: Proceeds from Shares Issued -- -- -- -- -- -- Reinvestment of Dividends & Distributions -- -- -- -- -- -- Cost of Shares Redeemed -- -- -- -- -- -- - ------------------------------------------------------------------------------------------------------------------------------------ Increase (Decrease) in Net Assets Derived from Class E Transactions -- -- -- -- -- -- - ------------------------------------------------------------------------------------------------------------------------------------ Class I: Proceeds from Shares Issued 11,017 10,321 7,267 7,533 -- -- Reinvestment of Dividends & Distributions 3,446 1,775 5 -- -- -- Cost of Shares Redeemed (17,516) (7,142) (14,646) (10,332) -- -- - ------------------------------------------------------------------------------------------------------------------------------------ Increase (Decrease) in Net Assets Derived from Class I Transactions (3,053) 4,954 (7,374) (2,799) -- -- - ------------------------------------------------------------------------------------------------------------------------------------ Class Y: Proceeds from Shares Issued -- -- -- -- 97 161 Reinvestment of Dividends & Distributions -- -- -- -- 47 46 Cost of Shares Redeemed -- -- -- -- (713) (1,104) - ------------------------------------------------------------------------------------------------------------------------------------ Decrease in Net Assets Derived from Class Y Transactions -- -- -- -- (569) (897) - ------------------------------------------------------------------------------------------------------------------------------------ Increase (Decrease) in Net Assets Derived from Capital Share Transactions (231,966) (634,920) (376,676) (776,420) 131,205 32,877 - ------------------------------------------------------------------------------------------------------------------------------------ Net Increase (Decrease) in Net Assets (148,217) (462,043) 232,630 (618,507) 519,512 200,113 - ------------------------------------------------------------------------------------------------------------------------------------ NET ASSETS: BEGINNING OF YEAR/PERIOD 3,793,409 4,255,452 3,415,529 4,034,036 2,378,065 2,177,952 - ------------------------------------------------------------------------------------------------------------------------------------ END OF YEAR/PERIOD $ 3,645,192 $ 3,793,409 $3,648,159 $ 3,415,529 $ 2,897,577 $2,378,065 - ------------------------------------------------------------------------------------------------------------------------------------ UNDISTRIBUTED (DISTRIBUTIONS IN EXCESS OF) NET INVESTMENT INCOME/(ACCUMULATED NET INVESTMENT LOSS) INCLUDED IN NET ASSETS AT PERIOD END $ 14,943 $ 15,171 $ 2,335 $ 840 $ 6,748 $ 5,081 ====================================================================================================================================
(1) See Note 4 in Notes to Financial Statements for additional information. (2) The Large Cap Diversified Alpha Fund commenced operations on December 14, 2005. (3) For the six months ended September 30, 2007. Effective September 14, 2007, the Fund's fiscal year end changed from March 31 to September 30. (4) On September 14, 2007, the SEI Institutional Managed Trust acquired the assets of the SEI S&P 500 Index Fund in a tax-free reorganization. See Shareholder Voting Results on page 243. (5) For the year ended March 31. (6) Includes realized gain of $4,368 ($ Thousands) due to in-kind redemptions (see Note 9). (7) Includes realized gain of $2,168 ($ Thousands) due to in-kind redemptions (see Note 9). - -------------------------------------------------------------------------------- 210 SEI Institutional Managed Trust / Annual Report / September 30, 2007
- -------------------------------------------------------------------------------------------------------------------------------- LARGE CAP DIVERSIFIED S&P 500 ALPHA FUND(2) INDEX FUND(4) - -------------------------------------------------------------------------------------------------------------------------------- 2007 2006 2007(3) 2007(5) 2006(5) - -------------------------------------------------------------------------------------------------------------------------------- OPERATIONS: Net Investment Income (Loss) $ 16,920 $ 8,870 $ 14,373 $ 33,720 $ 32,179 Net Realized Gain (Loss) from Investments, Securities Sold Short, Futures Contracts, Written Options and Swap Contracts 59,820 (7,358) 72,082 26,839(6) 67,000 Net Realized Loss on Foreign Currency Transactions (1) (1) -- -- -- Net Change in Unrealized Appreciation (Depreciation) on Investments, Securities Sold Short, Futures Contracts, Written Options and Swap Contracts 108,322 43,009 58,964 144,755 118,676 Net Change in Unrealized Appreciation (Depreciation) on Foreign Currency and Translation of Other Assets and Liabilities Denominated in Foreign Currency 1 (2) -- -- -- - -------------------------------------------------------------------------------------------------------------------------------- Net Increase in Net Assets from Operations 185,062 44,518 145,419 205,314 217,855 - -------------------------------------------------------------------------------------------------------------------------------- DIVIDENDS AND DISTRIBUTIONS FROM: Net Investment Income: Class A (15,519) (5,836) (2,463) (10,300) (9,054) Class E -- -- (4,424) (23,648) (23,083) Class I (2) -- (50) (200) (150) Class Y -- -- -- -- -- Net Realized Gains: Class A (7,983) -- -- (8,617) (21,431) Class E -- -- -- (17,342) (48,130) Class I -- -- -- (200) (430) - -------------------------------------------------------------------------------------------------------------------------------- Total Dividends and Distributions (23,504) (5,836) (6,937) (60,307) (102,278) - -------------------------------------------------------------------------------------------------------------------------------- CAPITAL SHARE TRANSACTIONS(1): Class A: Proceeds from Shares Issued 731,868 1,157,412 54,359 99,732 100,477 Reinvestment of Dividends & Distributions 23,418 5,833 2,336 18,041 29,133 Cost of Shares Redeemed (344,582) (119,826) (76,635) (155,992) (207,986) - -------------------------------------------------------------------------------------------------------------------------------- Increase (Decrease) in Net Assets Derived from Class A Transactions 410,704 1,043,419 (19,940) (38,219) (78,376) - -------------------------------------------------------------------------------------------------------------------------------- Class E: Proceeds from Shares Issued -- -- 61,905 109,388 599,259(10) Reinvestment of Dividends & Distributions -- -- 3,942 36,859 63,362 Cost of Shares Redeemed -- -- (209,444) (802,024)(9) (362,975) - -------------------------------------------------------------------------------------------------------------------------------- Increase (Decrease) in Net Assets Derived from Class E Transactions -- -- (143,597) (655,777) 299,646 - -------------------------------------------------------------------------------------------------------------------------------- Class I: Proceeds from Shares Issued 758 21 2,533 4,846 4,627 Reinvestment of Dividends & Distributions 3 -- 50 400 580 Cost of Shares Redeemed (304) -- (4,795) (5,071) (4,268) - -------------------------------------------------------------------------------------------------------------------------------- Increase (Decrease) in Net Assets Derived from Class I Transactions 457 21 (2,212) 175 939 - -------------------------------------------------------------------------------------------------------------------------------- Class Y: Proceeds from Shares Issued -- -- -- -- -- Reinvestment of Dividends & Distributions -- -- -- -- -- Cost of Shares Redeemed -- -- -- -- -- - -------------------------------------------------------------------------------------------------------------------------------- Decrease in Net Assets Derived from Class Y Transactions -- -- -- -- -- - -------------------------------------------------------------------------------------------------------------------------------- Increase (Decrease) in Net Assets Derived from Capital Share Transactions 411,161 1,043,440 (165,749) (693,821) 222,209 - -------------------------------------------------------------------------------------------------------------------------------- Net Increase (Decrease) in Net Assets 572,719 1,082,122 (27,267) (548,814) 337,786 - -------------------------------------------------------------------------------------------------------------------------------- NET ASSETS: BEGINNING OF YEAR/PERIOD 1,082,122 -- 1,763,433 2,312,247 1,974,461 - -------------------------------------------------------------------------------------------------------------------------------- END OF YEAR/PERIOD $ 1,654,841 $ 1,082,122 $ 1,736,166 $ 1,763,433 $ 2,312,247 - -------------------------------------------------------------------------------------------------------------------------------- UNDISTRIBUTED (DISTRIBUTIONS IN EXCESS OF) NET INVESTMENT INCOME/(ACCUMULATED NET INVESTMENT LOSS) INCLUDED IN NET ASSETS AT PERIOD END $ 4,550 $ 3,146 $ 7,544 $ -- $ 487 ================================================================================================================================ - --------------------------------------------------------------------------------------------------------------- SMALL CAP SMALL CAP VALUE FUND GROWTH FUND - --------------------------------------------------------------------------------------------------------------- 2007 2006 2007 2006 - --------------------------------------------------------------------------------------------------------------- OPERATIONS: Net Investment Income (Loss) $ 2,232 $ 3,389 $ (5,052) $ (4,517) Net Realized Gain (Loss) from Investments, Securities Sold Short, Futures Contracts, Written Options and Swap Contracts 161,341(7) 125,159 117,347(8) 58,444 Net Realized Loss on Foreign Currency Transactions (4) (16) (293) (12) Net Change in Unrealized Appreciation (Depreciation) on Investments, Securities Sold Short, Futures Contracts, Written Options and Swap Contracts (39,729) (19,635) 79,583 (15,531) Net Change in Unrealized Appreciation (Depreciation) on Foreign Currency and Translation of Other Assets and Liabilities Denominated in Foreign Currency -- -- 56 -- - --------------------------------------------------------------------------------------------------------------- Net Increase in Net Assets from Operations 123,840 108,897 191,641 38,384 - --------------------------------------------------------------------------------------------------------------- DIVIDENDS AND DISTRIBUTIONS FROM: Net Investment Income: Class A (7,396) (3,393) -- -- Class E -- -- -- -- Class I (67) (17) -- -- Class Y -- -- -- -- Net Realized Gains: Class A (112,541) (110,921) -- -- Class E -- -- -- -- Class I (1,420) (1,326) -- -- - --------------------------------------------------------------------------------------------------------------- Total Dividends and Distributions (121,424) (115,657) -- -- - --------------------------------------------------------------------------------------------------------------- CAPITAL SHARE TRANSACTIONS(1): Class A: Proceeds from Shares Issued 252,503 294,921 268,659 383,822 Reinvestment of Dividends & Distributions 114,441 109,275 -- -- Cost of Shares Redeemed (407,378)(9) (303,550) (415,459)(9) (368,970) - --------------------------------------------------------------------------------------------------------------- Increase (Decrease) in Net Assets Derived from Class A Transactions (40,434) 100,646 (146,800) 14,852 - --------------------------------------------------------------------------------------------------------------- Class E: Proceeds from Shares Issued -- -- -- -- Reinvestment of Dividends & Distributions -- -- -- -- Cost of Shares Redeemed -- -- -- -- - --------------------------------------------------------------------------------------------------------------- Increase (Decrease) in Net Assets Derived from Class E Transactions -- -- -- -- - --------------------------------------------------------------------------------------------------------------- Class I: Proceeds from Shares Issued 6,715 5,461 3,906 4,279 Reinvestment of Dividends & Distributions 1,479 1,325 -- -- Cost of Shares Redeemed (8,531) (5,103) (8,663) (3,766) - --------------------------------------------------------------------------------------------------------------- Increase (Decrease) in Net Assets Derived from Class I Transactions (337) 1,683 (4,757) 513 - --------------------------------------------------------------------------------------------------------------- Class Y: Proceeds from Shares Issued -- -- -- -- Reinvestment of Dividends & Distributions -- -- -- -- Cost of Shares Redeemed -- -- -- -- - --------------------------------------------------------------------------------------------------------------- Decrease in Net Assets Derived from Class Y Transactions -- -- -- -- - --------------------------------------------------------------------------------------------------------------- Increase (Decrease) in Net Assets Derived from Capital Share Transactions (40,771) 102,329 (151,557) 15,365 - --------------------------------------------------------------------------------------------------------------- Net Increase (Decrease) in Net Assets (38,355) 95,569 40,084 53,749 - --------------------------------------------------------------------------------------------------------------- NET ASSETS: BEGINNING OF YEAR/PERIOD 1,174,471 1,078,902 1,123,239 1,069,490 - --------------------------------------------------------------------------------------------------------------- END OF YEAR/PERIOD $ 1,136,116 $ 1,174,471 $ 1,163,323 $ 1,123,239 - --------------------------------------------------------------------------------------------------------------- UNDISTRIBUTED (DISTRIBUTIONS IN EXCESS OF) NET INVESTMENT INCOME/(ACCUMULATED NET INVESTMENT LOSS) INCLUDED IN NET ASSETS AT PERIOD END $ (898) $ 1,155 $ (1,655) $ (11) ===============================================================================================================
(8) Includes realized loss of $4,305 ($ Thousands) due to in-kind redemptions (see Note 9). (9) Includes redemption as a result of an in-kind transfer of securities (see Note 9). (10) Includes subscriptions as a result of an in-kind transfer of securities (see Note 9). Amounts designated as "--" are $0 or have been rounded to $0. The accompanying notes are an integral part of the financial statements. - -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Annual Report / September 30, 2007 211 Statements of Changes in Net Assets ($ Thousands) For the years or period ended September 30,
- ------------------------------------------------------------------------------------------------------------------------------ TAX-MANAGED SMALL/MID CAP SMALL CAP FUND DIVERSIFIED ALPHA FUND(2) MID-CAP FUND - ------------------------------------------------------------------------------------------------------------------------------ 2007 2006 2007 2007 2006 - ------------------------------------------------------------------------------------------------------------------------------ OPERATIONS: Net Investment Income $ 1,175 $ 267 $ 1,017 $ 430 $ 638 Net Realized Gain (Loss) from Investments, Futures Contracts and Swap Contracts 25,492 22,010 (1,562) 22,196 9,194 Net Realized Gain (Loss) on Foreign Currency Transactions -- -- (4) -- -- Net Change in Unrealized Appreciation (Depreciation) on Investments, Securities Sold Short, Futures Contracts, Written Options and Swap Contracts 25,122 (7,197) 538 (581) (2,133) Net Change in Unrealized Appreciation (Depreciation) on Foreign Currency and Translation of Other Assets and Liabilities Denominated in Foreign Currency -- -- -- -- -- - ------------------------------------------------------------------------------------------------------------------------------ Net Increase (Decrease) in Net Assets from Operations 51,789 15,080 (11) 22,045 7,699 - ------------------------------------------------------------------------------------------------------------------------------ DIVIDENDS AND DISTRIBUTIONS FROM: Net Investment Income: Class A (1,517) -- (699) (641) (598) Class I -- -- -- -- -- Net Realized Gains: Class A (23,058) (15,044) -- (6,793) (6,634) Class I -- -- -- -- -- - ------------------------------------------------------------------------------------------------------------------------------ Total Dividends and Distributions (24,575) (15,044) (699) (7,434) (7,232) - ------------------------------------------------------------------------------------------------------------------------------ CAPITAL SHARE TRANSACTIONS(1): Class A: Proceeds from Shares Issued 110,154 79,945 139,849 161,788 79,066 Reinvestment of Dividends & Distributions 22,918 14,133 698 6,259 6,635 Cost of Shares Redeemed (57,674) (49,300) (9,130) (89,579) (67,122) - ------------------------------------------------------------------------------------------------------------------------------ Increase in Net Assets Derived from Class A Transactions 75,398 44,778 131,417 78,468 18,579 - ------------------------------------------------------------------------------------------------------------------------------ Class I: Proceeds from Shares Issued -- -- -- -- -- - ------------------------------------------------------------------------------------------------------------------------------ Increase in Net Assets Derived from Class I Transactions -- -- -- -- -- - ------------------------------------------------------------------------------------------------------------------------------ Increase in Net Assets Derived from Capital Share Transactions 75,398 44,778 131,417 78,468 18,579 - ------------------------------------------------------------------------------------------------------------------------------ Net Increase in Net Assets 102,612 44,814 130,707 93,079 19,046 - ------------------------------------------------------------------------------------------------------------------------------ NET ASSETS: BEGINNING OF YEAR/PERIOD 314,333 269,519 -- 90,208 71,162 - ------------------------------------------------------------------------------------------------------------------------------ END OF YEAR/PERIOD $ 416,945 $ 314,333 $ 130,707 $ 183,287 $ 90,208 - ------------------------------------------------------------------------------------------------------------------------------ UNDISTRIBUTED (DISTRIBUTIONS IN EXCESS OF) NET INVESTMENT INCOME INCLUDED IN NET ASSETS AT PERIOD END $ 85 $ 298 $ 29 $ 38 $ 128 ==============================================================================================================================
(1) See Note 4 in Notes to Financial Statements for additional information. (2) The Small/Mid Cap Diversified Alpha Fund commenced operations on December 20, 2006. (3) The Global Managed Volatility and Enhanced Income Funds commenced operations on July 27, 2006. Amounts designated as "--" are $0 or have been rounded to $0. The accompanying notes are an integral part of the financial statements. - -------------------------------------------------------------------------------- 212 SEI Institutional Managed Trust / Annual Report / September 30, 2007
- ------------------------------------------------------------------------------------------------- U.S. MANAGED GLOBAL MANAGED VOLATILITY FUND VOLATILITY FUND(3) - ------------------------------------------------------------------------------------------------- 2007 2006 2007 2006 - ------------------------------------------------------------------------------------------------- OPERATIONS: Net Investment Income $ 5,264 $ 2,026 $ 3,057 $ 182 Net Realized Gain (Loss) from Investments, Futures Contracts and Swap Contracts 20,239 8,540 4,915 164 Net Realized Gain (Loss) on Foreign Currency Transactions -- -- (7,134) 380 Net Change in Unrealized Appreciation (Depreciation) on Investments, Securities Sold Short, Futures Contracts, Written Options and Swap Contracts 32,661 8,060 12,452 2,173 Net Change in Unrealized Appreciation (Depreciation) on Foreign Currency and Translation of Other Assets and Liabilities Denominated in Foreign Currency -- -- (743) 265 - ------------------------------------------------------------------------------------------------- Net Increase (Decrease) in Net Assets from Operations 58,164 18,626 12,547 3,164 - ------------------------------------------------------------------------------------------------- DIVIDENDS AND DISTRIBUTIONS FROM: Net Investment Income: Class A (4,993) (1,689) (1,567) -- Class I -- -- -- -- Net Realized Gains: Class A (8,410) (2,511) (675) -- Class I -- -- -- -- - ------------------------------------------------------------------------------------------------- Total Dividends and Distributions (13,403) (4,200) (2,242) -- - ------------------------------------------------------------------------------------------------- CAPITAL SHARE TRANSACTIONS(1): Class A: Proceeds from Shares Issued 364,416 203,861 225,851 97,370 Reinvestment of Dividends & Distributions 13,136 4,138 2,217 -- Cost of Shares Redeemed (139,978) (78,949) (57,576) (5,583) - ------------------------------------------------------------------------------------------------- Increase in Net Assets Derived from Class A Transactions 237,574 129,050 170,492 91,787 - ------------------------------------------------------------------------------------------------- Class I: Proceeds from Shares Issued 1 -- 1 -- - ------------------------------------------------------------------------------------------------- Increase in Net Assets Derived from Class I Transactions 1 -- 1 -- - ------------------------------------------------------------------------------------------------- Increase in Net Assets Derived from Capital Share Transactions 237,575 129,050 170,493 91,787 - ------------------------------------------------------------------------------------------------- Net Increase in Net Assets 282,336 143,476 180,798 94,951 - ------------------------------------------------------------------------------------------------- NET ASSETS: BEGINNING OF YEAR/PERIOD 303,523 160,047 94,951 -- - ------------------------------------------------------------------------------------------------- END OF YEAR/PERIOD $ 585,859 $ 303,523 $ 275,749 $ 94,951 - ------------------------------------------------------------------------------------------------- UNDISTRIBUTED (DISTRIBUTIONS IN EXCESS OF) NET INVESTMENT INCOME INCLUDED IN NET ASSETS AT PERIOD END $ 944 $ 662 $ (3,844) $ 578 ================================================================================================= - --------------------------------------------------------------------------------------------------- REAL ESTATE ENHANCED FUND INCOME FUND (3) - --------------------------------------------------------------------------------------------------- 2007 2006 2007 2006 - --------------------------------------------------------------------------------------------------- OPERATIONS: Net Investment Income $ 3,646 $ 1,842 $ 27,282 $ 2,057 Net Realized Gain (Loss) from Investments, Futures Contracts and Swap Contracts 12,360 10,236 (3,742) (270) Net Realized Gain (Loss) on Foreign Currency Transactions (4) (11) 2,747 -- Net Change in Unrealized Appreciation (Depreciation) on Investments, Securities Sold Short, Futures Contracts, Written Options and Swap Contracts (5,812) 23,191 (16,515) 127 Net Change in Unrealized Appreciation (Depreciation) on Foreign Currency and Translation of Other Assets and Liabilities Denominated in Foreign Currency 1 -- (2,542) 406 - --------------------------------------------------------------------------------------------------- Net Increase (Decrease) in Net Assets from Operations 10,191 35,258 7,230 2,320 - --------------------------------------------------------------------------------------------------- DIVIDENDS AND DISTRIBUTIONS FROM: Net Investment Income: Class A (4,265) (2,763) (21,572) -- Class I -- -- -- -- Net Realized Gains: Class A (10,114) (3,510) -- -- Class I -- -- -- -- - --------------------------------------------------------------------------------------------------- Total Dividends and Distributions (14,379) (6,273) (21,572) -- - --------------------------------------------------------------------------------------------------- CAPITAL SHARE TRANSACTIONS(1): Class A: Proceeds from Shares Issued 202,514 133,772 610,800 249,264 Reinvestment of Dividends & Distributions 13,799 6,040 21,073 -- Cost of Shares Redeemed (159,808) (72,528) (232,582) (15,603) - --------------------------------------------------------------------------------------------------- Increase in Net Assets Derived from Class A Transactions 56,505 67,284 399,291 233,661 - --------------------------------------------------------------------------------------------------- Class I: Proceeds from Shares Issued -- -- 12 -- - --------------------------------------------------------------------------------------------------- Increase in Net Assets Derived from Class I Transactions -- -- 12 -- - --------------------------------------------------------------------------------------------------- Increase in Net Assets Derived from Capital Share Transactions 56,505 67,284 399,303 233,661 - --------------------------------------------------------------------------------------------------- Net Increase in Net Assets 52,317 96,269 384,961 235,981 - --------------------------------------------------------------------------------------------------- NET ASSETS: BEGINNING OF YEAR/PERIOD 192,674 96,405 235,981 -- - --------------------------------------------------------------------------------------------------- END OF YEAR/PERIOD $ 244,991 $ 192,674 $ 620,942 $ 235,981 - --------------------------------------------------------------------------------------------------- UNDISTRIBUTED (DISTRIBUTIONS IN EXCESS OF) NET INVESTMENT INCOME INCLUDED IN NET ASSETS AT PERIOD END $ 2,518 $ 571 $ 9,839 $ 2,050 ===================================================================================================
- -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Annual Report / September 30, 2007 213 Statements of Changes in Net Assets ($ Thousands) For the years ended September 30,
- ------------------------------------------------------------------------------------------------------------ CORE FIXED HIGH YIELD INCOME FUND BOND FUND - ------------------------------------------------------------------------------------------------------------ 2007 2006 2007 2006 - ------------------------------------------------------------------------------------------------------------ OPERATIONS: Net Investment Income $ 214,085 $ 192,220 $ 92,638 $ 88,943 Net Realized Gain (Loss) on Investments, Futures Contracts, Written Options and Swap Contracts (2,410) (64,436) 7,250 (35,255) Payment by Affiliate* -- -- -- 3 Net Realized Loss on Foreign Currency Transactions -- (1,028) -- -- Net Change in Unrealized Appreciation (Depreciation) on Investments, Futures Contracts, Written Options, Swap Contracts, and Swaptions (37,572) 24,370 (26,071) 14,191 Net Change in Unrealized Appreciation (Depreciation) on Foreign Currency and Translation of Other Assets and Liabilities Denominated in Foreign Currency 417 (434) -- -- - ------------------------------------------------------------------------------------------------------------ Net Increase in Net Assets from Operations 174,520 150,692 73,817 67,882 - ------------------------------------------------------------------------------------------------------------ DIVIDENDS AND DISTRIBUTIONS FROM: Net Investment Income: Class A (214,787) (193,342) (93,629) (89,029) Class I (635) (551) -- -- Net Realized Gains: Class A -- (13,424) -- -- Class I -- (40) -- -- - ------------------------------------------------------------------------------------------------------------ Total Dividends and Distributions (215,422) (207,357) (93,629) (89,029) - ------------------------------------------------------------------------------------------------------------ CAPITAL SHARE TRANSACTIONS (1): Class A: Proceeds from Shares Issued 1,187,007 1,114,502 504,196 483,558 Reinvestment of Dividends & Distributions 203,045 194,414 86,274 81,500 Cost of Shares Redeemed (1,041,969) (1,053,127) (391,756) (1,075,121) - ------------------------------------------------------------------------------------------------------------ Increase (Decrease) in Net Assets Derived from Class A Transactions 348,083 255,789 198,714 (510,063) - ------------------------------------------------------------------------------------------------------------ Class I: Proceeds from Shares Issued 6,866 6,246 -- -- Reinvestment of Dividends & Distributions 636 589 -- -- Cost of Shares Redeemed (8,508) (5,605) -- -- - ------------------------------------------------------------------------------------------------------------ Increase (Decrease) in Net Assets Derived from Class I Transactions (1,006) 1,230 -- -- - ------------------------------------------------------------------------------------------------------------ Increase (Decrease) in Net Assets Derived from Capital Share Transactions 347,077 257,019 198,714 (510,063) - ------------------------------------------------------------------------------------------------------------ Net Increase (Decrease) in Net Assets 306,175 200,354 178,902 (531,210) - ------------------------------------------------------------------------------------------------------------ NET ASSETS: BEGINNING OF YEAR 4,307,344 4,106,990 1,068,711 1,599,921 - ------------------------------------------------------------------------------------------------------------ END OF YEAR $ 4,613,519 $ 4,307,344 $ 1,247,613 $ 1,068,711 - ------------------------------------------------------------------------------------------------------------ UNDISTRIBUTED (DISTRIBUTIONS IN EXCESS OF) NET INVESTMENT INCOME INCLUDED IN NET ASSETS AT PERIOD END $ (6,273) $ (448) $ 624 $ 215 ============================================================================================================
* See Note 3 in Notes to Financial Statements. (1) See Note 4 in the Notes to Financial Statements for additional information. Amounts designated as "--" are $0 or have been rounded to $0. The accompanying notes are an integral part of the financial statements. - -------------------------------------------------------------------------------- 214 SEI Institutional Managed Trust / Annual Report / September 30, 2007 Financial Highlights For the years or periods ended September 30, For a Share Outstanding Throughout the Periods
- ------------------------------------------------------------------------------------------------------------------- Net Realized and Distributions Total Net Asset Net Unrealized Dividends from Dividends, Value, Investment Gains from Net Realized Distributions Beginning Income on Total from Investment Capital Return and Return of Period (Loss) Securities Operations Income Gains of Capital of Capital - ------------------------------------------------------------------------------------------------------------------- LARGE CAP VALUE FUND Class A 2007 $23.54 $ 0.41(1) $2.69(1) $3.10 $(0.41) $(2.26) $ -- $(2.67) 2006 22.45 0.37(1) 2.41(1) 2.78 (0.37) (1.32) -- (1.69) 2005 19.80 0.35(1) 2.76(1) 3.11 (0.34) (0.12) -- (0.46) 2004 16.81 0.30(1) 2.99(1) 3.29 (0.30) -- -- (0.30) 2003 13.94 0.25(1) 2.86(1) 3.11 (0.24) -- -- (0.24) Class I 2007 $23.52 $ 0.35(1) $2.69(1) $3.04 $(0.35) $(2.26) $ -- $(2.61) 2006 22.43 0.31(1) 2.42(1) 2.73 (0.32) (1.32) -- (1.64) 2005 19.78 0.29(1) 2.77(1) 3.06 (0.29) (0.12) -- (0.41) 2004 16.80 0.25(1) 2.98(1) 3.23 (0.25) -- -- (0.25) 2003 13.94 0.21(1) 2.86(1) 3.07 (0.21) -- -- (0.21) LARGE CAP GROWTH FUND Class A 2007 $19.95 $ 0.06(1) $3.78(1) $3.84 $(0.05) $ -- $ -- $(0.05) 2006 19.23 0.04(1) 0.71(1) 0.75 (0.03) -- -- (0.03) 2005 17.13 0.09(1) 2.09(1) 2.18 (0.08) -- -- (0.08) 2004 15.77 (0.01)(1) 1.37(1) 1.36 -- -- -- -- 2003 12.97 --(1) 2.81(1) 2.81 -- -- (0.01) (0.01) Class I 2007 $19.75 $ --*(1) $3.73(1) $3.73 $ --* $ -- $ -- $ -- 2006 19.04 (0.01)(1) 0.72(1) 0.71 -- -- -- -- 2005 17.00 0.04(1) 2.07(1) 2.11 (0.07) -- -- (0.07) 2004 15.68 (0.05)(1) 1.37(1) 1.32 -- -- -- -- 2003 12.92 (0.03)(1) 2.79(1) 2.76 --* -- -- --* TAX-MANAGED LARGE CAP FUND Class A 2007 $12.68 $ 0.14(1) $2.01(1) $2.15 $(0.13) $ -- $ -- $(0.13) 2006 11.78 0.11(1) 0.90(1) 1.01 (0.11) -- -- (0.11) 2005 10.41 0.12(1) 1.37(1) 1.49 (0.12) -- -- (0.12) 2004 9.20 0.08(1) 1.21(1) 1.29 (0.08) -- -- (0.08) 2003 7.50 0.08(1) 1.70(1) 1.78 (0.08) -- -- (0.08) Class Y 2007 $12.79 $ 0.18(1) $2.04(1) $2.22 $(0.14) $ -- $ -- $(0.14) 2006 11.86 0.15(1) 0.89(1) 1.04 (0.11) -- -- (0.11) 2005 10.45 0.16(1) 1.38(1) 1.54 (0.13) -- -- (0.13) 2004 9.21 0.12(1) 1.20(1) 1.32 (0.08) -- -- (0.08) 2003 7.50 0.10(1) 1.71(1) 1.81 (0.10) -- -- (0.10) LARGE CAP DIVERSIFIED ALPHA FUND Class A 2007 $10.38 $ 0.14(1) $1.47(1) $1.61 $(0.13) $(0.08) $ -- $(0.21) 2006(2) 10.00 0.10(1) 0.34(1) 0.44 (0.06) -- -- (0.06) Class I 2007 $10.38 $ 0.11(1) $1.48(1) $1.59 $(0.11) $(0.08) $ -- $(0.19) 2006(3) 10.28 0.01(1) 0.09(1) 0.10 -- -- -- -- Ratio of Ratio of Expenses Expenses to Average Ratio of Net to Average Net Assets Investment Ratio of Net Assets (Excluding Income Net Asset Net Assets Expenses (Excluding Fees Paid (Loss) Portfolio Value, End Total End of Period to Average Fees Paid Indirectly to Average Turnover of Period Return+ ($Thousands) Net Assets Indirectly) and Waivers) Net Assets Rate+ - ------------------------------------------------------------------------------------------------------------------- LARGE CAP VALUE FUND Class A 2007 $23.97 13.91% $3,616,120 0.86% 0.86% 0.97% 1.74% 36% 2006 23.54 13.42 3,762,101 0.86 0.87 0.97 1.67 58 2005 22.45 15.87 4,230,717 0.86 0.86 0.97 1.63 44 2004 19.80 19.66 4,153,475 0.85 0.85 0.97 1.59 46 2003 16.81 22.55 3,527,686 0.85 0.85 0.97 1.61 106 Class I 2007 $23.95 13.64% $ 29,072 1.11% 1.11% 1.22% 1.49% 36% 2006 23.52 13.16 31,308 1.11 1.12 1.22 1.40 58 2005 22.43 15.61 24,735 1.11 1.11 1.22 1.37 44 2004 19.78 19.33 20,180 1.10 1.10 1.22 1.33 46 2003 16.80 22.17 9,086 1.10 1.10 1.22 1.36 106 LARGE CAP GROWTH FUND Class A 2007 $23.74 19.26% $3,622,963 0.86% 0.86% 1.02% 0.26% 55% 2006 19.95 3.92 3,387,749 0.86 0.87 1.02 0.18 89 2005 19.23 12.75 4,004,347 0.86 0.86 1.02 0.47 52 2004 17.13 8.62 3,846,240 0.85 0.85 1.02 (0.03) 36 2003 15.77 21.66 3,564,487 0.85 0.85 1.02 0.02 72 Class I 2007 $23.48 18.91% $ 25,196 1.11% 1.11% 1.27% 0.01% 55% 2006 19.75 3.73 27,780 1.11 1.12 1.27 (0.07) 89 2005 19.04 12.42 29,689 1.11 1.11 1.27 0.22 52 2004 17.00 8.42 28,431 1.10 1.10 1.27 (0.28) 36 2003 15.68 21.37 12,323 1.10 1.10 1.27 (0.24) 72 TAX-MANAGED LARGE CAP FUND Class A 2007 $14.70 17.05% $2,892,866 0.86% 0.86% 1.02% 1.02% 44% 2006 12.68 8.58 2,373,507 0.86 0.87 1.02 0.91 65 2005 11.78 14.40 2,172,885 0.86 0.86 1.02 1.08 31 2004 10.41 14.05 1,977,883 0.85 0.85 1.02 0.83 29 2003 9.20 23.84 1,757,292 0.85 0.85 1.02 0.85 99 Class Y 2007 $14.87 17.43% $ 4,711 0.56% 0.56% 0.72% 1.32% 44% 2006 12.79 8.83 4,558 0.56 0.57 0.72 1.21 65 2005 11.86 14.78 5,067 0.56 0.56 0.72 1.39 31 2004 10.45 14.41 4,909 0.55 0.55 0.72 1.13 29 2003 9.21 24.26 3,834 0.55 0.55 0.72 1.17 99 LARGE CAP DIVERSIFIED ALPHA FUND Class A 2007 $11.78 15.64% $1,654,324 1.21%(11) 1.21%(11) 1.29% 1.25% 84% 2006(2) 10.38 4.44 1,082,101 1.09@ 1.09@ 1.16 1.18 72 Class I 2007 $11.78 15.42% $ 517 1.46%(11) 1.46%(11) 1.54% 0.99% 84% 2006(3) 10.38 0.97 21 1.08@ 1.08@ 1.15 1.12 72
- -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Annual Report / September 30, 2007 215 Financial Highlights For the years or periods ended September 30, For a Share Outstanding Throughout the Periods - --------------------------------------------------------------------------------
Net Realized and Distributions Net Asset Net Unrealized Dividends from Total Value, Investment Gains from Net Realized Dividends Beginning Income (Losses) on Total from Investment Capital and of Period (Loss) Securities Operations Income Gains Distributions - ---------------------------------------------------------------------------------------------------------- S&P 500 INDEX FUND Class A 2007(4) $41.45 $ 0.34(1) $ 3.09(1) $3.43 $(0.17) $ -- $(0.17) 2007(5) 38.38 0.63(1) 3.70(1) 4.33 (0.68) (0.58) (1.26) 2006(5) 36.21 0.56(1) 3.47(1) 4.03 (0.54) (1.32) (1.86) 2005(5) 34.66 0.59(1) 1.57(1) 2.16 (0.58) (0.03) (0.61) 2004(5) 26.18 0.42(1) 8.58(1) 9.00 (0.52) -- (0.52) 2003(5) 35.39 0.38 (9.21) (8.83) (0.38) -- (0.38) Class E 2007(4) $41.57 $ 0.30(1) $ 3.17(1) $3.47 $(0.19) $ -- $(0.19) 2007(5) 38.48 0.69(1) 3.72(1) 4.41 (0.74) (0.58) (1.32) 2006(5) 36.31 0.62(1) 3.48(1) 4.10 (0.61) (1.32) (1.93) 2005(5) 34.76 0.66(1) 1.55(1) 2.21 (0.63) (0.03) (0.66) 2004(5) 26.26 0.47(1) 8.61(1) 9.08 (0.58) -- (0.58) 2003(5) 35.49 0.44 (9.25) (8.81) (0.42) -- (0.42) Class I 2007(4) $41.51 $ 0.28(1) $ 3.09(1) $3.37 $(0.14) $ -- $(0.14) 2007(5) 38.43 0.53(1) 3.71(1) 4.24 (0.58) (0.58) (1.16) 2006(5) 36.26 0.47(1) 3.46(1) 3.93 (0.44) (1.32) (1.76) 2005(5) 34.72 0.51(1) 1.56(1) 2.07 (0.50) (0.03) (0.53) 2004(5) 26.22 0.34(1) 8.60(1) 8.94 (0.44) -- (0.44) 2003(5)(6) 30.63 0.33 (4.46) (4.13) (0.28) -- (0.28) SMALL CAP VALUE FUND Class A 2007 $21.28 $ 0.04(1) $ 2.23(1) $2.27 $(0.14) $(2.15) $(2.29) 2006 21.58 0.05(1) 1.97(1) 2.02 (0.06) (2.26) (2.32) 2005 20.74 0.06(1) 4.02(1) 4.08 (0.05) (3.19) (3.24) 2004 17.45 0.03(1) 4.32(1) 4.35 (0.06) (1.00) (1.06) 2003 13.99 0.08(1) 3.91(1) 3.99 (0.09) (0.44) (0.53) Class I 2007 $21.21 $(0.01)(1) $ 2.21(1) $2.20 $(0.09) $(2.15) $(2.24) 2006 21.52 --(1) 1.98(1) 1.98 (0.03) (2.26) (2.29) 2005 20.71 (0.01)(1) 4.03(1) 4.02 (0.02) (3.19) (3.21) 2004 17.44 (0.02)(1) 4.31(1) 4.29 (0.02) (1.00) (1.02) 2003 13.99 0.04(1) 3.90(1) 3.94 (0.05) (0.44) (0.49) SMALL CAP GROWTH FUND Class A 2007 $18.56 $(0.09)(1) $ 3.44(1) $3.35 $ -- $ -- $ -- 2006 17.86 (0.07)(1) 0.77(1) 0.70 -- -- -- 2005 15.14 (0.10)(1) 2.82(1) 2.72 -- -- -- 2004 14.11 (0.10)(1) 1.13(1) 1.03 -- -- -- 2003 9.62 (0.08)(1) 4.57(1) 4.49 -- -- -- Class I 2007 $18.32 $(0.14)(1) $ 3.39(1) $3.25 $ -- $ -- $ -- 2006 17.67 (0.12)(1) 0.77(1) 0.65 -- -- -- 2005 15.02 (0.14)(1) 2.79(1) 2.65 -- -- -- 2004 14.03 (0.14)(1) 1.13(1) 0.99 -- -- -- 2003 9.59 (0.11)(1) 4.55(1) 4.44 -- -- -- Ratio of Ratio of Expenses Expenses to Average Ratio of Net to Average Net Assets Investment Ratio of Net Assets (Excluding Income Net Asset Net Assets Expenses (Excluding Fees Paid (Loss) Portfolio Value, End Total End of Period to Average Fees Paid Indirectly to Average Turnover of Period Return+ ($Thousands) Net Assets Indirectly) and Waivers) Net Assets Rate+ - ---------------------------------------------------------------------------------------------------------------------- S&P 500 INDEX FUND Class A 2007(4) $44.71 8.28% $ 650,792 0.40% 0.40% 0.43% 1.55% 2% 2007(5) 41.45 11.38 621,898 0.40 0.40 0.43 1.59 6 2006(5) 38.38 11.32 614,246 0.40 0.40 0.43 1.49 18 2005(5) 36.21 6.25 655,378 0.40 0.40 0.43 1.67 11 2004(5) 34.66 34.62 686,129 0.40 0.40 0.43 1.33 7 2003(5) 26.18 (25.06) 524,554 0.40 0.40 0.43 1.33 7 Class E 2007(4) $44.85 8.34% $1,072,141 0.25% 0.25% 0.53% 1.70% 2% 2007(5) 41.57 11.57 1,127,189 0.25 0.25 0.53 1.74 6 2006(5) 38.48 11.49 1,684,857 0.25 0.25 0.53 1.65 18 2005(5) 36.31 6.39 1,307,631 0.25 0.25 0.53 1.86 11 2004(5) 34.76 34.83 904,534 0.25 0.25 0.53 1.47 7 2003(5) 26.26 (24.92) 790,231 0.25 0.25 0.53 1.48 7 Class I 2007(4) $44.74 8.12% $ 13,233 0.65% 0.65% 0.78% 1.29% 2% 2007(5) 41.51 11.12 14,346 0.65 0.65 0.78 1.34 6 2006(5) 38.43 11.02 13,144 0.65 0.65 0.78 1.25 18 2005(5) 36.26 5.97 11,452 0.65 0.65 0.78 1.44 11 2004(5) 34.72 34.28 6,370 0.65 0.65 0.78 1.06 7 2003(5)(6) 26.22 (13.53) 1,707 0.65 0.65 0.78 1.17 7 SMALL CAP VALUE FUND Class A 2007 $21.26 10.70% $1,122,027 1.11% 1.13% 1.27% 0.19% 86% 2006 21.28 10.34 1,160,178 1.11 1.13 1.27 0.31 72 2005 21.58 21.21 1,066,189 1.11 1.11 1.27 0.27 71 2004 20.74 25.67 942,037 1.10 1.10 1.27 0.17 89 2003 17.45 29.28 795,501 1.10 1.10 1.27 0.52 99 Class I 2007 $21.17 10.41% $ 14,089 1.36% 1.38% 1.52% (0.04)% 86% 2006 21.21 10.11 14,293 1.36 1.38 1.52 0.06 72 2005 21.52 20.88 12,713 1.36 1.36 1.52 (0.03) 71 2004 20.71 25.29 7,400 1.35 1.35 1.52 (0.09) 89 2003 17.44 28.91 2,572 1.35 1.35 1.52 0.23 99 SMALL CAP GROWTH FUND Class A 2007 $21.91 18.05% $1,154,000 1.11% 1.13% 1.27% (0.43)% 135% 2006 18.56 3.92 1,111,329 1.11 1.13 1.27 (0.40) 99 2005 17.86 17.97 1,058,413 1.11 1.11 1.27 (0.60) 116 2004 15.14 7.30 970,759 1.10 1.10 1.27 (0.63) 124 2003 14.11 46.67 875,906 1.10 1.10 1.27 (0.66) 166 Class I 2007 $21.57 17.74% $ 9,323 1.36% 1.38% 1.52% (0.67)% 135% 2006 18.32 3.68 11,910 1.36 1.38 1.52 (0.65) 99 2005 17.67 17.64 11,077 1.36 1.36 1.52 (0.85) 116 2004 15.02 7.06 8,530 1.35 1.35 1.52 (0.90) 124 2003 14.03 46.30 5,339 1.35 1.35 1.52 (0.91) 166
- -------------------------------------------------------------------------------- 216 SEI Institutional Managed Trust / Annual Report / September 30, 2007
- ------------------------------------------------------------------------------------------------------------------------------------ Net Realized and Distributions Net Asset Net Unrealized Dividends from Total Value, Investment Gains from Net Realized Dividends Net Asset Beginning Income (Losses) on Total from Investment Capital and Value, End of Period (Loss) Securities Operations Income Gains Distributions of Period - ------------------------------------------------------------------------------------------------------------------------------------ TAX-MANAGED SMALL CAP FUND Class A 2007 $ 13.10 $ 0.04(1) $ 2.00(1) $ 2.04 $ (0.06) $ (0.94) $ (1.00) $ 14.14 2006 13.13 0.01(1) 0.68(1) 0.69 -- (0.72) (0.72) 13.10 2005 11.63 (0.02)(1) 2.36(1) 2.34 -- (0.84) (0.84) 13.13 2004 10.00 (0.04)(1) 1.67(1) 1.63 -- -- -- 11.63 2003 7.54 (0.02)(1) 2.48(1) 2.46 -- -- -- 10.00 SMALL/MID CAP DIVERSIFIED ALPHA FUND Class A 2007(10) $10.00 $0.10(1) $0.07(1)++ $0.17 $(0.07) $ -- $(0.07) $10.10 MID-CAP FUND Class A 2007 $20.40 $0.06(1) $3.40(1) $3.46 $(0.10) $(1.54) $(1.64) $22.22 2006 20.29 0.14(1) 1.49(1) 1.63 (0.12) (1.40) (1.52) 20.40 2005 17.84 0.06(1) 4.61(1) 4.67 (0.06) (2.16) (2.22) 20.29 2004 14.96 0.09(1) 3.19(1) 3.28 (0.11) (0.29) (0.40) 17.84 2003 11.74 0.11(1) 3.25(1) 3.36 (0.08) (0.06) (0.14) 14.96 U.S. MANAGED VOLATILITY FUND Class A 2007 $12.02 $0.15(1) $ 1.74(1) $ 1.89 $(0.14) $(0.32) $(0.46) $13.45 2006 11.41 0.10(1) 0.75(1) 0.85 (0.09) (0.15) (0.24) 12.02 2005(7) 10.00 0.10(1) 1.39(1) 1.49 (0.08) --* (0.08) 11.41 Class I 2007(13) $13.54 $0.01 $(0.05) $(0.04) $(0.07) $ -- $(0.07) $13.43 GLOBAL MANAGED VOLATILITY FUND Class A 2007 $10.37 $0.17(1) $ 0.85(1) $ 1.02 $(0.11) $(0.06) $(0.17) $11.22 2006(8) 10.00 0.02(1) 0.35(1) 0.37 -- -- -- 10.37 Class I 2007(13) $11.45 $0.01(1) $(0.26) $(0.25) $ -- $ -- $ -- $11.20 REAL ESTATE FUND Class A 2007 $18.43 $0.30(1) $ 0.76(1) $ 1.06 $(0.36) $(0.93) $(1.29) $18.20 2006 14.86 0.23(1) 4.15(1) 4.38 (0.36) (0.45) (0.81) 18.43 2005 11.89 0.27(1) 3.22(1) 3.49 (0.26) (0.26) (0.52) 14.86 2004(9) 10.00 0.21(1) 1.85(1) 2.06 (0.17) -- (0.17) 11.89 ENHANCED INCOME FUND Class A 2007 $10.11 $0.57(1) $(0.27)(1) $ 0.30 $(0.49) $ -- $(0.49) $ 9.92 2006(8) 10.00 0.10(1) 0.01(1) 0.11 -- -- -- 10.11 Class I 2007(13) $10.25 $0.15 $(0.35) $(0.20) $(0.14) $ -- $(0.14) $ 9.91 - ----------------------------------------------------------------------------------------------------------------------- Ratio of Ratio of Expenses Expenses to Average Ratio of Net to Average Net Assets Investment Ratio of Net Assets (Excluding Income Net Assets Expenses (Excluding Fees Paid (Loss) Portfolio Total End of Period to Average Fees Paid Indirectly to Average Turnover Return+ ($Thousands) Net Assets Indirectly) and Waivers) Net Assets Rate+ - ----------------------------------------------------------------------------------------------------------------------- TAX-MANAGED SMALL CAP FUND Class A 2007 16.00% $416,945 1.11% 1.14% 1.27% 0.31% 72% 2006 5.50 314,333 1.11 1.14 1.27 0.09 73 2005 20.80 269,519 1.11 1.11 1.27 (0.17) 99 2004 16.30 214,859 1.10 1.10 1.27 (0.31) 86 2003 32.63 181,773 1.10 1.10 1.27 (0.21) 142 SMALL/MID CAP DIVERSIFIED ALPHA FUND Class A 2007(10) 1.71% $130,707 1.29%(12) 1.29%(12) 1.50% 1.25% 112% MID-CAP FUND Class A 2007 17.51% $183,287 1.01% 1.01% 1.02% 0.26% 176% 2006 8.50 90,208 1.01 1.01 1.03 0.67 135 2005 28.15 71,162 1.01 1.01 1.03 0.30 137 2004 22.23 53,642 1.00 1.00 1.02 0.53 121 2003 28.92 41,502 1.00 1.00 1.03 0.86 109 U.S. MANAGED VOLATILITY FUND Class A 2007 16.09% $585,858 1.04% 1.04% 1.27% 1.19% 112% 2006 7.64 303,523 1.11 1.11 1.27 0.91 133 2005(7) 14.94 160,047 1.11 1.11 1.27 1.03 102 Class I 2007(13) (0.32)% $ 1 1.36% 1.36% 1.86% 0.19% 112% GLOBAL MANAGED VOLATILITY FUND Class A 2007 9.88% $275,748 1.11% 1.11% 1.32% 1.56% 119% 2006(8) 3.70 94,951 1.10 1.10 1.30 1.22 13 Class I 2007(13) (2.18)% $ 1 1.36% 1.36% 2.26% 0.23% 119% REAL ESTATE FUND Class A 2007 5.49% $244,991 1.11% 1.12% 1.27% 1.55% 84% 2006 30.44 192,674 1.11 1.12 1.27 1.39 65 2005 29.97 96,405 1.11 1.11 1.27 1.95 58 2004(9) 20.82 35,008 1.10 1.10 1.30 2.20 98 ENHANCED INCOME FUND Class A 2007 2.96% $620,931 0.60% 0.60% 1.03% 5.67% 43% 2006(8) 1.10 235,981 0.60 0.60 1.10 5.54 70 Class I 2007(13) (2.01)% $ 11 1.09% 1.09% 1.56% 5.78% 43%
- -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Annual Report / September 30, 2007 217 Financial Highlights For the years or periods ended September 30, For a Share Outstanding Throughout the Periods
- ---------------------------------------------------------------------------------------------------------------------------------- Net Realized and Distributions Net Asset Unrealized Dividends from Total Value, Net Gains from Net Realized Dividends Beginning Investment (Losses) on Total from Investment Capital and of Period Income Securities Operations Income Gains Distributions - ---------------------------------------------------------------------------------------------------------------------------------- CORE FIXED INCOME FUND Class A 2007 $10.29 $0.50(1) $(0.10)(1) $0.40 $(0.50) $ -- $(0.50) 2006 10.44 0.47(1) (0.11)(1) 0.36 (0.48) (0.03) (0.51) 2005 10.65 0.40(1) (0.11)(1) 0.29 (0.41) (0.09) (0.50) 2004 10.71 0.37(1) 0.08 (1) 0.45 (0.38) (0.13) (0.51) 2003 10.67 0.40(1) 0.28 (1) 0.68 (0.42) (0.22) (0.64) Class I 2007 $10.29 $0.41(1) $(0.03)(1) $0.38 $(0.48) $ -- $(0.48) 2006 10.43 0.45(1) (0.11)(1) 0.34 (0.45) (0.03) (0.48) 2005 10.65 0.38(1) (0.12)(1) 0.26 (0.39) (0.09) (0.48) 2004 10.71 0.34(1) 0.09(1) 0.43 (0.36) (0.13) (0.49) 2003 10.67 0.37(1) 0.28(1) 0.65 (0.39) (0.22) (0.61) HIGH YIELD BOND FUND Class A 2007 $ 8.38 $0.67(1) $(0.11)(1) $0.56 $(0.68) $ -- $(0.68) 2006 8.50 0.65(1) (0.12)(1) 0.53 (0.65) -- (0.65) 2005 8.58 0.64(1) (0.08)(1) 0.56 (0.64) -- (0.64) 2004 8.37 0.67(1) 0.21(1) 0.88 (0.67) -- (0.67) 2003 7.60 0.68(1) 0.77(1) 1.45 (0.68) -- (0.68) - -------------------------------------------------------------------------------------------- Ratio of Expenses to Average Ratio of Net Assets Net Asset Net Assets Expenses (Excluding Value, End Total End of Period to Average Fees Paid of Period Return+ ($Thousands) Net Assets Indirectly) - -------------------------------------------------------------------------------------------- CORE FIXED INCOME FUND Class A 2007 $10.19 4.00% $4,600,629 0.64% 0.64% 2006 10.29 3.60 4,293,309 0.63 0.63 2005 10.44 2.83 4,094,011 0.61 0.61 2004 10.65 4.38 4,067,065 0.61** 0.61** 2003 10.71 6.63 3,823,429 0.60 0.60 Class I 2007 $10.19 3.74% $ 12,890 0.89% 0.89% 2006 10.29 3.44 14,035 0.88 0.88 2005 10.43 2.48 12,979 0.86 0.86 2004 10.65 4.12 10,420 0.86** 0.86** 2003 10.71 6.37 5,931 0.85 0.85 HIGH YIELD BOND FUND Class A 2007 $ 8.26 6.72% $1,247,613 0.86% 0.86% 2006 8.38 6.51 1,068,711 0.86 0.86 2005 8.50 6.71 1,599,921 0.86 0.86 2004 8.58 10.84 1,197,554 0.85 0.85 2003 8.37 19.88 976,659 0.85 0.85 - ----------------------------------------------------------------- Ratio of Expenses to Average Net Assets Ratio of Net (Excluding Investment Fees Paid Income Portfolio Indirectly to Average Turnover and Waivers) Net Assets Rate+ - ----------------------------------------------------------------- CORE FIXED INCOME FUND Class A 2007 0.84% 4.89% 413% 2006 0.84 4.62 478 2005 0.84 3.83 557 2004 0.84 3.52 430 2003 0.84 3.77 470 Class I 2007 1.09% 3.96% 413% 2006 1.09 4.37 478 2005 1.09 3.60 557 2004 1.09 3.25 430 2003 1.09 3.46 470 HIGH YIELD BOND FUND Class A 2007 1.12% 7.89% 91% 2006 1.12 7.69 126 2005 1.12 7.46 132 2004 1.11 7.84 179 2003 1.12 8.50 129
+ Returns and turnover rates are for the period indicated and have not been annualized. ++ The amount shown for a share outstanding throughout the period does not accord with the aggregate net gains on investments for the period because of the sales and repurchases of fund shares in relation to fluctuating market value of the investments of the Fund. +++ The expense ratios include dividend expense and interest expense on securities sold short. Had these expenses been excluded the ratios would have been 0.95% and 0.75% for Class A and Class I Shares, respectively. * Amount represents less than $0.01. ** The expense ratio includes the litigation fees paid (see Note 10). Had these fees been excluded the ratio would have been 0.60% and 0.85% for Class A and Class I, respectively. (1) Per share net investment income and net realized and unrealized gains/(losses) calculated using average shares. (2) Commenced operations on December 14, 2005. All ratios for the period have been annualized. (3) Commenced operations on September 14, 2006. All ratios for the period have been annualized. (4) For the six months ended September 30, 2007. The Fund's fiscal year end changed from March 31 to September 30. All ratios for the period have been annualized. (5) For the year or period ended March 31. (6) Commenced operations on June 28, 2002. All ratios for the period have been annualized. (7) Commenced operations on October 28, 2004. All ratios for the period have been annualized. (8) Commenced operations on July 27, 2006. All ratios for the period have been annualized. (9) Commenced operations on November 13, 2003. All ratios for the period have been annualized. (10) Commenced operations on December 20, 2006. All ratios have been annualized. (11) The expense ratios include dividend expense and interest expense on securities sold short. Had these expenses been excluded the ratios would have been 0.94% and 1.20% for Class A and Class I Shares, respectively. (12) The expense ratios include dividend expense and interest expense on securities sold short. Had these expenses been excluded the ratios would have been 1.17%. (13) Commenced operations on June 29, 2007. Amounts designated as "--" are $0 or have been rounded to $0. The accompanying notes are an integral part of the financial statements. - -------------------------------------------------------------------------------- 218 SEI Institutional Managed Trust / Annual Report / September 30, 2007 Notes to Financial Statements September 30, 2007 1. ORGANIZATION SEI Institutional Managed Trust (the "Trust") is organized as a Massachusetts Business Trust under a Declaration of Trust dated October 20, 1986. The Trust is registered under the Investment Company Act of 1940, as amended, as an open-end investment company with 19 Funds: Large Cap Value, Large Cap Growth, Tax-Managed Large Cap, Large Cap Diversified Alpha, S&P 500 Index, Small Cap Value, Small Cap Growth, Tax-Managed Small Cap, Small/Mid Cap Diversified Alpha, Mid-Cap, U.S. Managed Volatility, Global Managed Volatility, Real Estate, Enhanced Income, Core Fixed Income, High Yield Bond, Real Return Plus, Prime Obligation and Tax-Managed Managed Volatility Funds (each a "Fund," collectively the "Funds"). The Trust is registered to offer Class A shares of the Funds, Class E Share of the S&P 500 Fund, Class I shares of the Large Cap Value, Large Cap Growth, Large Cap Diversified Alpha, S&P 500 Index, Small Cap Value, Small Cap Growth, Small/Mid Cap Diversified Alpha, Mid-Cap, U.S. Managed Volatility, Global Managed Volatility, Real Estate, Enhanced Income, Core Fixed Income, High Yield Bond and Real Return Plus Funds, and Class Y shares of Tax-Managed Large Cap Fund. The assets of each Fund are segregated, and a shareholder's interest is limited to the Fund in which shares are held. The Funds' prospectuses provide a description of each Fund's investment objective, policies, and strategies. As of September 30, 2007, the Real Return Plus, Prime Obligation and Tax-Managed Managed Volatility Funds have not yet commenced operations. 2. SIGNIFICANT ACCOUNTING POLICIES The following is a summary of the significant accounting policies followed by the Funds. USE OF ESTIMATES -- The preparation of financial statements, in conformity with generally accepted accounting principles requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates. SECURITY VALUATION -- Securities listed on a securities exchange, market or automated quotation system for which quotations are readily available (except for securities traded on NASDAQ) are valued at the last quoted sale price on the primary exchange or market (foreign or domestic) on which they are traded, or, if there is no such reported sale, at the most recent quoted bid price. For securities traded on NASDAQ, the NASDAQ Official Closing Price will be used. If available, debt securities are priced based upon valuations provided by independent, third-party pricing agents. Such values generally reflect the last reported sales price if the security is actively traded. The third-party pricing agents may also value debt securities at an evaluated bid price by employing methodologies that utilize actual market transactions, broker-supplied valuations, or other methodologies designed to identify the market value for such securities. Debt obligations with remaining maturities of sixty days or less may be valued at their amortized cost, which approximates market value. Prices for most securities held in the Funds are provided daily by recognized independent pricing agents. If a security price cannot be obtained from an independent, third-party pricing agent, the Funds seek to obtain a bid price from at least one independent broker. Securities for which market prices are not "readily available" are valued in accordance with Fair Value Procedures established by the Funds' Board of Trustees. The Funds' Fair Value Procedures are implemented through a Fair Value Committee (the "Committee") designated by the Funds' Board of Trustees. Some of the more common reasons that may necessitate that a security be valued using Fair Value Procedures include: the security's trading has been halted or suspended; the security has been de-listed from a national exchange; the security's primary trading market is temporarily closed at a time when, under normal conditions, it would be open; or the security's primary pricing source is not able or willing to provide a price. When a security is valued in accordance with the Fair Value Procedures, the Committee will determine the value after taking into consideration relevant information reasonably available to the Committee. For securities that principally trade on a foreign market or exchange, a significant gap in time can exist between the time of a particular security's last trade and the time at which a Fund calculates its net asset value. The closing prices of such securities may no longer reflect their market value at the time the Fund calculates net asset value if an event that could materially affect the value of those securities (a "Significant Event") has occurred between the time of the security's last close and the time that the Fund calculates net asset value. A Significant Event may relate to a single issuer or to an entire market sector. If the adviser or sub-adviser of a Fund becomes aware of a Significant Event that has occurred with respect to a security or group of securities after the closing of the exchange or market on which the security or securities principally trade, but before the time at which the Fund calculates net asset value, it may request that a Fair Value Committee Meeting be called. In addition, the Funds' administrator monitors price movements among certain selected indices, securities and/or baskets of securities that may be an indicator that the closing prices received earlier from foreign exchanges or markets may not reflect market value at the time the Fund calculates net asset value. If price movements in a monitored index or security exceed levels established by the administrator, the administrator notifies the adviser or sub-adviser for any Fund holding the relevant securities that such limits have been exceeded. In such event, the adviser or sub-adviser makes the determination whether a Fair Value Committee Meeting should be called based on the information provided. Options and warrants for which the primary market is a national securities exchange are valued at the last sale price on the exchange on which they are traded, or, in the absence of any sale, at the closing - -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Annual Report / September 30, 2007 219 Notes to Financial Statements (Continued) September 30, 2007 bid price. Options and warrants not traded on a national securities exchange are valued at the last quoted bid price. SECURITY TRANSACTIONS AND INVESTMENT INCOME -- Security transactions are recorded on the trade date. Costs used in determining net realized capital gains and losses on the sale of securities are on the basis of specific identification. Dividend income is recognized on the ex-dividend date, and interest income is recognized using the accrual basis of accounting. Income from payment-in-kind securities is recorded daily based on the effective interest method of accrual. Distributions received on securities that represent a return of capital or capital gain are recorded as a reduction of cost of investments and/or as a realized gain. The trust estimates the components of distributions received that may be considered nontaxable distributions or capital gain distributions. Amortization and accretion is calculated using the scientific interest method, which approximates the effective interest method over the holding period of the security. Amortization of premiums and discounts is included in interest income. REPURCHASE AGREEMENTS -- Securities pledged as collateral for repurchase agreements are held by each Fund's custodian bank until the repurchase date of the repurchase agreement. The Funds also invest in tri-party repurchase agreements. Securities held as collateral for tri-party repurchase agreements are maintained by the broker's custodian bank in a segregated account until the repurchase date of the repurchase agreement. Provisions of the repurchase agreements and the Trust's policies require that the market value of the collateral, including accrued interest thereon, is sufficient in the event of default by the counterparty. If the counterparty defaults and the value of the collateral declines, or if the counterparty enters into an insolvency proceeding, realization of the collateral by the Funds may be delayed or limited. REVERSE REPURCHASE AGREEMENTS -- The Core Fixed Income Fund may issue reverse repurchase agreements. A reverse repurchase agreement involves the sale of portfolio assets together with an agreement to repurchase the same assets later at a fixed price. Additional assets are maintained in an account with the broker. The segregated assets may consist of cash, U.S. Government securities, or other liquid securities at least equal in value to the obligations under the reverse repurchase agreements. In the event the buyer of securities under a reverse repurchase agreement files for bankruptcy or becomes insolvent, the Fund's use of the proceeds under the agreement may be restricted pending a determination by the other party, or its trustee or receiver, whether to enforce the obligation to repurchase the securities. There were no reverse repurchase agreements outstanding as of September 30, 2007. COMPENSATING BALANCES -- Funds with cash overdrafts in excess of $100,000 are required to leave 112% in compensating balance with US Bank, the custodian of the Trust, on the following day. Funds with positive cash balances in excess of $100,000 are allowed to overdraw 90% of the balance with US Bank on the following day. EXPENSES -- Expenses that are directly related to one of the Funds are charged directly to that Fund. Other operating expenses of the Funds are prorated to the Funds on the basis of relative daily net assets. CLASSES -- Class-specific expenses are borne by that class of shares. Income, realized and unrealized gains/losses and non class-specific expenses are allocated to the respective class on the basis of relative daily net assets. FOREIGN CURRENCY TRANSLATION -- The books and records of the Funds are maintained in U.S. dollars on the following basis: (I) market value of investment securities, assets and liabilities at the current rate of exchange; and (II) purchases and sales of investment securities, income and expenses at the relevant rates of exchange prevailing on the respective dates of such transactions. The Funds do not isolate that portion of gains and losses on investments in equity securities that is due to changes in the foreign exchange rates from that which is due to changes in market prices of equity securities. The Funds report certain foreign-currency-related transactions as components of realized gains for financial reporting purposes, whereas such components are treated as ordinary income for Federal income tax purposes. FORWARD FOREIGN CURRENCY CONTRACTS -- The Small Cap Growth, Global Managed Volatility, Enhanced Income and Core Fixed Income Funds may enter into forward foreign currency contracts as hedges against either specific transactions, fund positions or anticipated fund positions. The Core Fixed Income Fund may also engage in currency transactions to enhance the Fund's returns. All commitments are "marked-to-market" daily at the applicable foreign exchange rate, and any resulting unrealized gains or losses are recorded currently. The Small Cap Growth and Core Fixed Income Funds realize gains and losses at the time forward contracts are extinguished. Unrealized gains or losses on outstanding positions in forward foreign currency contracts held at the close of the period are recognized as ordinary income or loss for Federal income tax purposes. The Funds could be exposed to risk if the counterparties to the contracts are unable to meet the terms of the contract and from unanticipated movements in the value of a foreign currency relative to the U.S. dollar. Finally, the risk exists that losses could exceed amounts disclosed on the Statement of Assets and Liabilities. At the year ended September 30, 2007, the Small Cap Growth Fund did not have any forward currency contracts outstanding. FUTURES CONTRACTS -- All Funds, with the exception of the Real Estate and High Yield Bond Funds, utilized futures contracts during the year or period ended September 30, 2007. The Funds' investments in futures contracts are designed to enable the Funds to more closely approximate the performance of their benchmark indices. The Core - -------------------------------------------------------------------------------- 220 SEI Institutional Managed Trust / Annual Report / September 30, 2007 Fixed Income Fund may use futures contracts for tactical hedging purposes as well as to enhance the Fund's returns. Initial margin deposits of cash or securities are made upon entering into futures contracts. The contracts are marked to market daily and the resulting changes in value are accounted for as unrealized gains and losses. Variation margin payments are paid or received, depending upon whether unrealized gains or losses are incurred. When the contract is closed, the Fund records a realized gain or loss equal to the difference between the proceeds from (or cost of) the closing transaction and the amount invested in the contract. Risks of entering into futures contracts include the possibility that there will be an imperfect price correlation between the futures and the underlying securities. Second, it is possible that a lack of liquidity for futures contracts could exist in the secondary market, resulting in an inability to close a position prior to its maturity date. Third, the futures contract involves the risk that the fund could lose more than the original margin deposit required to initiate a futures transaction. Finally, the risk exists that losses could exceed amounts disclosed on the Statement of Assets and Liabilities. OPTIONS/SWAPTIONS WRITING/PURCHASING -- Each Fund may invest in financial options/swaptions contracts for the purpose of hedging its existing fund securities, or securities that the Fund intends to purchase, against fluctuations in fair value caused by changes in prevailing market interest rates. The Core Fixed Income Fund may also invest in financial option/swaption contracts to enhance the Fund's returns. When the Fund writes or purchases an option/swaption, an amount equal to the premium received or paid by the Fund is recorded as a liability or an asset and is subsequently adjusted to the current market value of the option/swaption written or purchased. Premiums received or paid from writing or purchasing options/swaptions which expire unexercised are treated by the Fund on the expiration date as realized gains or losses. The difference between the premium and the amount paid or received on effecting a closing purchase or sale transaction, including brokerage commissions, is also treated as a realized gain or loss. If an option/swaption is exercised, the premium paid or received is added to the cost of the purchase or proceeds from the sale in determining whether the Fund has realized a gain or a loss on investment transactions. The Large Cap Diversified Alpha, Small/Mid Cap Diversified Alpha and Core Fixed Income Funds had option/swaption contracts as of September 30, 2007 as disclosed in the Fund's Schedule of Investments. The risk in writing a call option/swaption is that the Funds give up the opportunity for profit if the market price of the security increases. The risk in writing a put option/swaption is that the Funds may incur a loss if the market price of the security decreases and the option/swaption is exercised. The risk in purchasing an option/swaption is that the Funds pay a premium whether or not the option/swaption is exercised. The Funds also have the additional risk of being unable to enter into a closing transaction at an acceptable price if a liquid secondary market does not exist. Option/swaption contracts also involve the risk that they may not work as intended due to unanticipated developments in market conditions or other causes. Finally, the risk exists that losses on written options could exceed amounts disclosed on the Statement of Assets and Liabilities. Written option transactions entered into during the year or period ended September 30, 2007 are summarized as follows: - -------------------------------------------------------------------------------- Large Cap Diversified Alpha Fund - -------------------------------------------------------------------------------- Number of Premium Contracts ($ Thousands) - -------------------------------------------------------------------------------- Balance at the beginning of period 131 $ 71 Written 43 7 Expired (131) (71) Closing Buys -- -- - -------------------------------------------------------------------------------- Balance at the end of period 43 $ 7 ================================================================================ - -------------------------------------------------------------------------------- Small/Mid Cap Diversified Alpha Fund - -------------------------------------------------------------------------------- Number of Premium Contracts ($ Thousands) - -------------------------------------------------------------------------------- Balance at the beginning of period -- $ -- Written 7 1 Expired -- -- Closing Buys -- -- - -------------------------------------------------------------------------------- Balance at the end of period 7 $ 1 ================================================================================ - -------------------------------------------------------------------------------- Core Fixed Income Fund - -------------------------------------------------------------------------------- Number of Premium Contracts ($ Thousands) - -------------------------------------------------------------------------------- Balance at the beginning of period 1,511 $ 865 Written 6,439 3,065 Expired (3,428) (1,646) Closing Buys (2,436) (940) - -------------------------------------------------------------------------------- Balance at the end of period 2,086 $ 1,344 ================================================================================ Written swaptions transactions entered into during the year ended September 30, 2007 are summarized as follows: - -------------------------------------------------------------------------------- Core Fixed Income Fund - -------------------------------------------------------------------------------- Notional Amount Premium ($ Thousands) ($ Thousands) - -------------------------------------------------------------------------------- Balance at the beginning of period $ -- $ -- Written 128,270 2,290 Expired (26,270) (35) Closing buys -- -- - -------------------------------------------------------------------------------- Balance at the end of period $ 102,000 $ 2,255 ================================================================================ At September 30, 2007, the Large Cap Diversified Alpha, Small/Mid Cap Diversified Alpha and Core Fixed Income Funds had cash and/or securities at least equal to the value of written options/swaptions. - -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Annual Report / September 30, 2007 221 Notes to Financial Statements (Continued) September 30, 2007 SWAP AGREEMENTS -- A swap agreement is a two-party contract under which an agreement is made to exchange returns from predetermined investments or instruments, including a particular interest rate, foreign currency, or "basket" of securities representing a particular index. Interest rate swaps involve the exchange by a Fund with another party of their respective commitments to pay or receive interest (e.g., an exchange of floating rate payments for fixed rate payments) with respect to a notional amount of principal. Credit-default swaps involve periodic payments by the Fund or counterparty based on a specified rate multiplied by a notional amount assigned to an underlying debt instrument or group of debt instruments in exchange for the assumption of credit risk on the same instruments. In the event of a credit event, usually in the form of a credit rating downgrade, the party receiving periodic payments (i.e. floating rate payer) must pay the other party (i.e. fixed rate payer) an amount equal to the outstanding principal of the downgraded debt instrument, and also take possession of the instrument. Total return swaps allow an investor to benefit from the cash flow without ever actually owning the underlying security. The receiver must pay any decline in value to the payer at the end of the total return swap. However, the investor does not need to make a payment if there is no decline in price. Payments can be made on various indices, bonds (i.e. mortgage backed securities, bank debt and corporate), loans or commodities. The value of a total return swap is equal to the change in value of the underlying asset versus the accrued income payment based on LIBOR or some other form of indices on the notional amount. Interest rate swaps involve the exchange by a Fund with another party of their respective commitments to pay or receive interest (e.g., an exchange of floating rate payments for fixed rate payments) with respect to a notional amount of principal to manage the Fund's exposure to interest rates. Payments received or made are recorded as realized gains or loss. The Fund could be exposed to credit or market risk due to unfavorable changes in the fluctuation of interest rates or if the counterparty defaults on its obligation to perform. Risk of loss may exceed amounts recognized on the statement of assets and liabilities. Interest rate swap contracts outstanding at period end, if any, are listed after the Fund's portfolio. In connection with swap agreements securities may be set aside as collateral by the Fund's custodian. A Fund may enter into swap agreements in order to, among other things, change the maturity or duration of the investment portfolio, to protect the Fund's value from changes in interest rates, or to expose a Fund to a different security or market. Swaps are marked-to-market daily based upon quotations from market makers and the resulting changes in market values, if any, are recorded as an unrealized gain or loss in the Statement of Operations. Net payments of interest are recorded as realized gains or losses. Entering into swap agreements involves, to varying degrees, elements of credit and market risk in excess of the amounts recognized on the Statement of Assets and Liabilities. Such risks involve the possibility that there will be no liquid market for these agreements, that the counterparty to the agreement may default on its obligation to perform and that there may be unfavorable changes in the fluctuation of interest rates. Risks also arise from potential losses from adverse market movements. DELAYED DELIVERY TRANSACTIONS -- The Core Fixed Income Fund may purchase or sell securities on a when-issued or delayed delivery basis. These transactions involve a commitment by the Fund to purchase or sell securities for a predetermined price or yield, with payment and delivery taking place beyond the customary settlement period. When delayed delivery purchases are outstanding, the Fund will set aside liquid assets in an amount sufficient to meet the purchase price. When purchasing a security on a delayed delivery basis, the Fund assumes the rights and risks of ownership of the security, including the risk of price and yield fluctuations, and takes such fluctuations into account when determining its net asset value. The Fund may dispose of or renegotiate a delayed delivery transaction after it is entered into, and may sell when-issued securities before they are delivered, which may result in a capital gain or loss. When the Fund has sold a security on a delayed delivery basis, the Fund does not participate in future gains and losses with respect to the security. COLLATERALIZED DEBT OBLIGATIONS -- The Funds may invest in collateralized debt obligations ("CDOs"), which include collateralized loan obligations ("CLOs") and other similarly structured securities. CLOs are a type of asset-backed securities. A CLO is a trust typically collateralized by a pool of loans, which may include, among others, domestic and foreign senior secured loans, senior unsecured loans, and subordinate corporate loans, including loans that may be rated below investment grade or equivalent unrated loans. CDOs may charge management fees and administrative expenses. For CDOs, the cashflows from the trust are split into two or more portions, called tranches, varying in risk and yield. The riskiest portion is the "equity" tranche which bears the bulk of defaults from the bonds or loans in the trust and serves to protect the other, more senior tranches from default in all but the most severe circumstances. Since it is partially protected from defaults, a senior tranche from a CDO trust typically has a higher rating and lower yield than their underlying securities, and can be rated investment grade. Despite the protection from the equity tranche, CDO tranches can experience substantial losses due to actual defaults, increased sensitivity to defaults due to collateral default and disappearance of protecting tranches, market anticipation of defaults, as well as aversion to CDO securities as a class. The risks of an investment in a CDO depend largely on the type of the collateral securities and the class of the CDO in which a Fund invests. Normally, CLOs and other CDOs are privately offered and sold, and thus, are not registered under the securities laws. As a result, investments in CDOs may be characterized by the Funds as illiquid securities; however, an active dealer market may exist for CDOs, allowing a CDO to qualify for Rule 144A transactions. In addition to the normal risks associated with fixed income securities (e.g., interest rate risk and default risk), CDOs carry additional risks including, but are not - -------------------------------------------------------------------------------- 222 SEI Institutional Managed Trust / Annual Report / September 30, 2007 limited to: (i) the possibility that distributions from collateral securities will not be adequate to make interest or other payments; (ii) the quality of the collateral may decline in value or default; (iii) the Funds may invest in CDOs that are subordinate to other classes; and (iv) the complex structure of the security may not be fully understood at the time of investment and may produce disputes with the issuer or unexpected investment results. ILLIQUID SECURITIES -- A security is considered illiquid if it cannot be sold or disposed of in the ordinary course of business within seven days or less for its approximate carrying value on the books of the Funds. Valuations of illiquid securities may differ significantly from the values that would have been used had an active market value for these securities existed. RESTRICTED SECURITIES -- At September 30, 2007, the following Funds owned private placement investments that were purchased through private offerings or acquired through initial public offerings and cannot be sold without prior registration under the Securities Act of 1933 or pursuant to an exemption therefrom. In addition, the Funds have generally agreed to further restrictions on the disposition of certain holdings as set forth in various agreements entered into in connection with the purchase of these investments. These investments are valued at fair value as determined in accordance with the procedures approved by the Board of Trustees. The acquisition dates of these investments, the enforceable right to acquire these securities, along with their cost and values at September 30, 2007, were as follows:
RIGHT TO NUMBER ACQUISITION ACQUIRE COST MARKET VALUE % OF NET OF SHARES DATE DATE ($THOUSANDS) ($THOUSANDS) ASSETS - ------------------------------------------------------------------------------------------------------------------- SMALL CAP VALUE FUND Verde Realty PIPE 21,100 02/16/07 02/16/07 $ 696 $ 696 0.06% ========= ========= ==== SMALL CAP GROWTH FUND BA Energy PIPE 145,000 08/10/06 08/10/06 $ 1,223 $ 1,022 0.09% BA Energy, Deal #3 PIPE 37,000 04/30/07 04/30/07 268 261 0.02 BPZ Energy PIPE 286,500 05/07/07 05/07/07 1,513 2,235 0.19 Force Protection 201,900 12/19/06 12/19/06 2,372 3,936 0.33 NNN Realty Advisors 241,000 11/09/06 11/09/06 2,410 2,036 0.18 Oilsands Quest PIPE 13,700 05/02/07 05/02/07 38 61 0.01 Orion Marine Group 169,200 05/03/07 05/03/07 2,291 2,411 0.21 Parkervision Warrants, Deal #2 17,500 06/20/06 06/20/06 36 108 0.01 Rentech Warrants 19,400 04/20/07 04/20/07 -- 11 0.00 Synenco Energy 19,500 08/19/05 08/19/05 227 220 0.02 --------- --------- ---- $ 10,378 $ 12,301 1.06% ========= ========= ==== SMALL/MID CAP DIVERSIFIED ALPHA FUND BA Energy, Deal #3 PIPE 12,000 04/30/07 04/30/07 $ 96 $ 85 0.07% BPZ Energy PIPE 16,800 05/07/07 05/07/07 89 131 0.10 Oilsands Quest PIPE 4,000 05/02/07 05/02/07 11 18 0.01 Orion Marine Group 13,000 05/03/07 05/03/07 180 185 0.14 Rentech Warrants 1,000 05/03/07 05/03/07 -- 1 0.00 --------- --------- ---- $ 376 $ 420 0.32% ========= ========= ==== REAL ESTATE FUND Verde Realty PIPE 21,400 02/16/07 02/16/07 $ 706 $ 706 0.29% ========= ========= ====
- -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Annual Report / September 30, 2007 223 Notes to Financial Statements (Continued) September 30, 2007 DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS -- Dividends from net investment income are declared and paid to shareholders quarterly for the Large Cap Value, Large Cap Growth, Tax-Managed Large Cap, Large Cap Diversified Alpha, S&P 500 Index, Small Cap Value, Small Cap Growth, Tax-Managed Small Cap, Small/Mid Cap Diversified Alpha, Mid-Cap, U.S. Managed Volatility, Enhanced Income and Real Estate Funds; are declared and paid annually for the Global Managed Volatility Fund; and declared daily and paid monthly for the Core Fixed Income and High Yield Bond Funds. Any net realized capital gains on sales of securities are distributed to shareholders at least annually. Dividends and distributions are recorded on the ex-dividend date. The Large Cap Value, Large Cap Diversified Alpha, Small Cap Value, Tax-Managed Small Cap, Mid-Cap and U.S. Managed Volatility Funds utilized earnings and profits distributed to shareholders on redemption of shares as a part of the dividends paid deduction for income tax purposes. INVESTMENTS IN REITS -- With respect to the Real Estate Fund, dividend income is recorded based on the income included in distributions received from the REIT investments using published REIT reclassifications including some management estimates when actual amounts are not available. Distributions received in excess of this estimated amount are recorded as a reduction of the cost of investments or reclassified to capital gains. The actual amounts of income, return of capital, and capital gains are only determined by each REIT after its fiscal year-end, and may differ from the estimated amounts. 3. AGREEMENTS AND OTHER TRANSACTIONS WITH AFFILIATES ADMINISTRATION AND TRANSFER AGENCY AGREEMENT -- The Trust and SEI Investments Global Funds Services (the "Administrator") are parties to an amended and restated Administration and Transfer Agency Agreement dated December 10, 2003 under which the Administrator provides administrative and transfer agency services to the Funds for an annual fee of 0.35% of the average daily net assets of the Large Cap Value, Large Cap Growth, Tax-Managed Large Cap Class A, Large Cap Diversified Alpha, Small Cap Value, Small Cap Growth, Tax-Managed Small Cap, Small/Mid Cap Diversified Alpha, Mid-Cap, U.S. Managed Volatility, Global Managed Volatility, Real Estate, Enhanced Income and High Yield Bond Funds; 0.15% of average daily net assets of the Tax-Managed Large Cap Class Y, 0.22% of the average daily net assets of the S&P 500 Index Fund; and 0.28% of the average daily net assets of the Core Fixed Income Fund. The Administrator has agreed to waive all or a portion of its fee in order to limit the operating expenses of a Fund. Any such waiver is voluntary and may be terminated at any time at the Administrator's sole discretion. INVESTMENT ADVISORY AGREEMENT -- SEI Investments Management Corporation ("SIMC") serves as investment adviser (the "Adviser") to each Fund. In connection with serving as Adviser, SIMC is entitled to a fee, which is calculated daily and paid monthly, based on the average daily net assets of each Fund. SIMC has voluntarily agreed to waive a portion of its fee so that the total annual expenses of each Fund, exclusive of short sale expenses, will not exceed certain voluntary expense limitations adopted by SIMC. These waivers may be terminated at any time. Accordingly, the advisory fee and voluntary expense limitations for each Fund are as follows: - -------------------------------------------------------------------------------- Voluntary Advisory Expense Fees Limitations - -------------------------------------------------------------------------------- Large Cap Value Fund, Class A 0.3500% 0.8600% Large Cap Value Fund, Class I 0.3500 1.1100 Large Cap Growth Fund, Class A 0.4000 0.8600 Large Cap Growth Fund, Class I 0.4000 1.1100 Tax-Managed Large Cap Fund, Class A 0.4000 0.8600 Tax-Managed Large Cap Fund, Class Y 0.4000 0.5600 Large Cap Diversified Alpha Fund, Class A 0.4000 0.9500 Large Cap Diversified Alpha Fund, Class I 0.4000 1.2000 S&P 500 Index Fund, Class A 0.0300 0.4300 S&P 500 Index Fund, Class E 0.0300 0.2500 S&P 500 Index Fund, Class I 0.0300 0.6500 Small Cap Value Fund, Class A 0.6500 1.1100 Small Cap Value Fund, Class I 0.6500 1.3600 Small Cap Growth Fund, Class A 0.6500 1.1100 Small Cap Growth Fund, Class I 0.6500 1.3600 Tax-Managed Small Cap Fund, Class A 0.6500 1.1100 Small/Mid Cap Diversified Alpha Fund, Class A 0.7500 1.2000 Mid-Cap Fund, Class A 0.4000 1.0100 U.S. Managed Volatility Fund, Class A 0.6500 1.1100 U.S. Managed Volatility Fund, Class I 0.6500 1.3600 Global Managed Volatility Fund, Class A 0.6500 1.0000* Global Managed Volatility Fund, Class I 0.6500 1.2500* Real Estate Fund, Class A 0.6500 1.1100 Enhanced Income Fund, Class A 0.4000 0.6000 Enhanced Income Fund, Class I 0.4000 0.8500 Core Fixed Income Fund, Class A 0.2750 0.6400 Core Fixed Income Fund, Class I 0.2750 0.8900 High Yield Bond Fund, Class A 0.4875 0.8600 * Prior to April 1, 2007, the Global Managed Volatility Fund Class A and Class I had voluntary expense limitations of 1.1100% and 1.3600%, respectively. - -------------------------------------------------------------------------------- 224 SEI Institutional Managed Trust / Annual Report / September 30, 2007 As of September 30, 2007, SIMC has entered into investment sub-advisory agreements with the following parties: - -------------------------------------------------------------------------------- Investment Sub-Adviser - -------------------------------------------------------------------------------- LARGE CAP VALUE FUND AllianceBernstein LP Aronson + Johnson + Ortiz, LP Enhanced Investment Technologies, LLC LSV Asset Management LARGE CAP GROWTH FUND Delaware Management Company Enhanced Investment Technologies, LLC Goldman Sachs Asset Management, L.P. Montag & Caldwell, Inc. Quantitative Management Associates LLC TAX-MANAGED LARGE CAP FUND AllianceBernstein LP Aronson + Johnson + Ortiz, LP Delaware Management Company Goldman Sachs Asset Management, L.P. LSV Asset Management Montag & Caldwell, Inc. Parametric Portfolio Associates Quantitative Management Associates LLC LARGE CAP DIVERSIFIED ALPHA FUND Analytic Investors, Inc. Aronson + Johnson + Ortiz, LP Delaware Management Company Enhanced Investment Technologies, LLC Quantitative Management Associates LLC Smith Breeden Associates, Inc. S&P 500 INDEX FUND SSgA Funds Management, Inc. SMALL CAP VALUE FUND Artisan Partners Limited Partnership BlackRock Capital Management, Inc. David J. Greene and Company, LLC LSV Asset Management Lee Munder Investments, Ltd. Martingale Asset Management, L.P. PanAgora Asset Management, Inc.* Robeco Investment Management, Inc. Weiss, Peck & Greer, LLC Wellington Management Company, LLP SMALL CAP GROWTH FUND Delaware Management Company Janus Capital Management, Inc. Lee Munder Investments, Ltd. Martingale Asset Management, L.P. Mazama Capital Management, Inc. McKinley Capital Management Inc. PanAgora Asset Management, Inc. Wellington Management Company, LLP - -------------------------------------------------------------------------------- Investment Sub-Adviser - -------------------------------------------------------------------------------- TAX-MANAGED SMALL CAP FUND BlackRock Capital Management, Inc. David J. Greene and Company, LLC Delaware Management Company Los Angeles Capital Management and Equity Research, Inc. LSV Asset Management Mazama Capital Management, Inc. McKinley Capital Management Inc. Parametric Portfolio Associates SMALL/MID CAP DIVERSIFIED ALPHA FUND Integrity Asset Management LLC Los Angeles Capital Management and Equity Research, Inc. Martingale Asset Management, L.P. PanAgora Asset Management, Inc. Smith Breeden Associates, Inc. Wellington Management Company, LLP MID-CAP FUND Martingale Asset Management, L.P. Quantitative Management Associates LLC U.S. MANAGED VOLATILITY FUND Aronson + Johnson + Ortiz, LP Analytic Investors, Inc. GLOBAL MANAGED VOLATILITY FUND Acadian Asset Management, Inc. Analytic Investors, Inc. REAL ESTATE FUND Security Capital Research and Management, Inc. Wellington Management Company, LLP ENHANCED INCOME FUND Highland Capital Management, L.P. Record Currency Management Limited Wellington Management Company, LLP CORE FIXED INCOME FUND Metropolitan West Asset Management LLC Smith Breeden Associates, Inc. Wells Capital Management, Inc. Western Asset Management Company Western Asset Management Company Limited HIGH YIELD BOND FUND Ares Management LLC J.P. Morgan Investment Management, Inc. Nomura Corporate Research and Asset Management, Inc. * As of September 30, 2007, this sub-adviser was not yet funded. Under the investment sub-advisory agreements, each party receives an annual fee paid by SIMC. - -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Annual Report / September 30, 2007 225 Notes to Financial Statements (Continued) September 30, 2007 PAYMENT BY AFFILIATE -- During the fiscal year ended September 30, 2006, the Core Fixed Income Fund was reimbursed by a sub-adviser, which was included in net investment income in the Statement of Changes, for sub-advisory fees received of $239,132. After terminating its sub-advisory agreement with the Fund, the sub-adviser agreed to reimburse the Fund for sub-advisory fees received since their hiring in September 2005. During the fiscal year ended September 30, 2006, the High Yield Bond Fund was reimbursed by the sub-adviser, deemed as a "Payment by Affiliate" in the Statement of Changes, for losses incurred of $2,947 due to the sale of shares in a specific company in excess of the amount permitted under applicable Securities and Exchange Commission rules. The reimbursement has no impact on the Fund's total return. DISTRIBUTION AGREEMENT -- SEI Investments Distribution Co. (the "Distributor"), a wholly owned subsidiary of SEI Investments Company ("SEI"), serves as each Fund's Distributor pursuant to a distribution agreement with the Trust. The Trust has adopted a shareholder servicing plan for Class A, Class E, Class I and Class Y shares (the "Shareholder Servicing Plans") under which a shareholder servicing fee of up to 0.25% of average daily net assets attributable to Class A shares of the Large Cap Value, Large Cap Growth, Tax-Managed Large Cap, Large Cap Diversified Alpha, Small Cap Value, Small Cap Growth, Tax-Managed Small Cap, Small/Mid Cap Diversified Alpha, Mid-Cap, U.S. Managed Volatility, Global Managed Volatility, Real Estate, Enhanced Income, Core Fixed Income and High Yield Bond Funds, Class E and Class I shares, and a shareholder servicing fee of up to 0.15% of average daily net assets attributable to Class A shares of the S&P 500 Index Fund and Class Y shares, will be paid to the Distributor. In addition to the Shareholder Servicing Plans, the Class I shares have adopted administrative service plans that provide for administrative service fees payable to the Distributor of up to 0.25% of the average daily net assets attributed to that class. OTHER -- The Distribution Agreement between the Distributor and the Trust provides that the Distributor may receive compensation on fund transactions effected for the Trust in accordance with the rules of the Securities and Exchange Commission ("SEC"). Accordingly, it is expected that fund transactions may result in brokerage commissions being paid to the Distributor. SEC rules require that such commissions not exceed usual and customary commissions. - -------------------------------------------------------------------------------- 226 SEI Institutional Managed Trust / Annual Report / September 30, 2007 4. CAPITAL SHARE TRANSACTIONS Capital Share Transactions for the Funds were as follows (Thousands): For the years or period ended September 30,
- ------------------------------------------------------------------------------------------------------------------------------------ LARGE CAP LARGE CAP LARGE CAP TAX-MANAGED DIVERSIFIED VALUE FUND GROWTH FUND LARGE CAP FUND ALPHA FUND(1) - ------------------------------------------------------------------------------------------------------------------------------------ 2007 2006 2007 2006 2007 2006 2007 2006 - ------------------------------------------------------------------------------------------------------------------------------------ Class A: Shares Issued 22,820 26,779 24,904 32,792 37,459 33,862 65,075 115,472 Shares Issued in Lieu of Dividends & Distributions 16,663 14,126 339 300 1,745 1,534 2,114 576 Shares Redeemed (48,402) (69,601) (42,404) (71,571) (29,612) (32,596) (30,979) (11,833) - ------------------------------------------------------------------------------------------------------------------------------------ Total Class A Transactions (8,919) (28,696) (17,161) (38,479) 9,592 2,800 36,210 104,215 - ------------------------------------------------------------------------------------------------------------------------------------ Class I: Shares Issued 467 465 339 383 -- -- 68 2 Shares Issued in Lieu of Dividends & Distributions 151 85 -- -- -- -- -- -- Shares Redeemed (735) (322) (673) (535) -- -- (27) -- - ------------------------------------------------------------------------------------------------------------------------------------ Total Class I Transactions (117) 228 (334) (152) -- -- 41 2 - ------------------------------------------------------------------------------------------------------------------------------------ Class Y: Shares Issued -- -- -- -- 7 14 -- -- Shares Issued in Lieu of Dividends & Distributions -- -- -- -- 3 4 -- -- Shares Redeemed -- -- -- -- (49) (89) -- -- - ------------------------------------------------------------------------------------------------------------------------------------ Total Class Y Transactions -- -- -- -- (39) (71) -- -- - ------------------------------------------------------------------------------------------------------------------------------------ Net Increase (Decrease) in Capital Share Transactions (9,036) (28,468) (17,495) (38,631) 9,553 2,729 36,251 104,217 - ------------------------------------------------------------------------------------------------------------------------------------ - ------------------------------------------------------------------------------------------------------------------------------------ S&P 500 SMALL CAP SMALL CAP TAX-MANAGED INDEX FUND(4) VALUE FUND GROWTH FUND SMALL CAP FUND - ------------------------------------------------------------------------------------------------------------------------------------ 2007(2) 2007(3) 2006(3) 2007 2006 2007 2006 2007 2006 - ------------------------------------------------------------------------------------------------------------------------------------ Class A: Shares Issued 1,250 2,517 2,705 11,573 14,206 12,999 20,574 7,958 6,096 Shares Issued in Lieu of Dividends & Distributions 53 445 780 5,373 5,563 -- -- 1,709 1,122 Shares Redeemed (1,749) (3,966) (5,579) (18,686)(5) (14,670) (20,205)(5) (19,958) (4,181) (3,751) - ------------------------------------------------------------------------------------------------------------------------------------ Total Class A Transactions (446) (1,004) (2,094) (1,740) 5,099 (7,206) 616 5,486 3,467 - ------------------------------------------------------------------------------------------------------------------------------------ Class E: Shares Issued 1,414 2,742 15,809(6) -- -- -- -- -- -- Shares Issued in Lieu of Dividends & Distributions 89 908 1,689 -- -- -- -- -- -- Shares Redeemed (4,713) (20,320)(5) (9,723) -- -- -- -- -- -- - ------------------------------------------------------------------------------------------------------------------------------------ Total Class E Transactions (3,210) (16,670) 7,775 -- -- -- -- -- -- - ------------------------------------------------------------------------------------------------------------------------------------ Class I: Shares Issued 58 123 124 310 263 190 228 -- -- Shares Issued in Lieu of Dividends & Distributions 1 10 15 70 68 -- -- -- -- Shares Redeemed (109) (129) (113) (388) (248) (408) (205) -- -- - ------------------------------------------------------------------------------------------------------------------------------------ Total Class I Transactions (50) 4 26 (8) 83 (218) 23 -- -- - ------------------------------------------------------------------------------------------------------------------------------------ Net Increase (Decrease) in Capital Share Transactions (3,706) (17,670) 5,707 (1,748) 5,182 (7,424) 639 5,486 3,467 - ------------------------------------------------------------------------------------------------------------------------------------
(1) The Large Cap Diversified Alpha Fund commenced operations on December 14, 2005. (2) For the six months ended September 30, 2007. Effective September 17, 2007 the Fund's fiscal year end changed from March 31 to September 30. (3) For the year ended March 31. (4) On September 14, 2007, the SEI Institutional Managed Trust acquired the net assets of the SEI S&P 500 Index Fund in a tax-free reorganization. See Shareholder Voting Results on page 243. (5) Includes redemption as a result of in-kind transfer of securities (see Note 9). (6) Includes subscriptions as a result of in-kind transfer of securities (see Note 9). Amounts designated as "--" are $0 or have been rounded to $0. - -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Annual Report / September 30, 2007 227 Notes to Financial Statements (Continued) September 30, 2007
- ------------------------------------------------------------------------------------------------------------------------------------ SMALL/MID DIVERSIFIED MID-CAP U.S. MANAGED GLOBAL MANAGED ALPHA FUND(1) FUND VOLATILITY FUND* VOLATILITY FUND*(2) - ------------------------------------------------------------------------------------------------------------------------------------ 2007 2006 2007 2006 2007 2006 2007 2006 - ------------------------------------------------------------------------------------------------------------------------------------ Class A: Shares Issued 13,754 8,193 7,597 3,896 28,238 17,714 20,365 9,704 Shares Issued in Lieu of Dividends & Distributions 66 29 300 342 1,043 366 204 -- Shares Redeemed (881) (352) (4,069) (3,323) (10,963) (6,865) (5,154) (547) - ------------------------------------------------------------------------------------------------------------------------------------ Total Class A Transactions 12,939 7,870 3,828 915 18,318 11,215 15,415 (9,157) - ------------------------------------------------------------------------------------------------------------------------------------ Net Increase (Decrease) in Capital Share Transactions 12,939 7,870 3,828 915 18,318 11,215 15,415 (9,157) - ------------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------ REAL ESTATE ENHANCED CORE FIXED HIGH YIELD FUND INCOME FUND(2) INCOME FUND BOND FUND - ------------------------------------------------------------------------------------------------------------------------------------ 2007 2006 2007 2006 2007 2006 2007 2006 - ------------------------------------------------------------------------------------------------------------------------------------ Class A: Shares Issued 10,713 7,942 60,371 24,889 115,881 109,028 59,539 57,619 Shares Issued in Lieu of Dividends & Distributions 720 375 2,090 -- 19,804 19,036 10,186 9,708 Shares Redeemed (8,428) (4,351) (23,206) (1,550) (101,625) (103,170) (46,105) (128,063) - ------------------------------------------------------------------------------------------------------------------------------------ Total Class A Transactions 3,005 3,966 39,255 23,339 34,060 24,894 23,620 (60,736) - ------------------------------------------------------------------------------------------------------------------------------------ Class I: Shares Issued -- -- 1 -- 669 611 -- -- Shares Issued in Lieu of Dividends & Distributions -- -- -- -- 62 58 -- -- Shares Redeemed -- -- -- -- (830) (549) -- -- - ------------------------------------------------------------------------------------------------------------------------------------ Total Class I Transactions -- -- 1 -- (99) 120 -- -- - ------------------------------------------------------------------------------------------------------------------------------------ Net Increase (Decrease) in Capital Share Transactions 3,005 3,966 39,256 23,339 33,961 25,014 23,620 (60,736) - ------------------------------------------------------------------------------------------------------------------------------------
* Class I Shares rounded to less than one thousand and are not shown. (1) The Small/Mid Cap Diversified Alpha Fund commenced operations on December 20, 2006. (2) The Global Managed Volatility and Enhanced Income Funds commenced operations on July 27, 2006. Amounts designated as "--" are $0 or have been rounded to $0. 5. INVESTMENT TRANSACTIONS The cost of security purchases and proceeds from the sale of securities, other than temporary cash investments and futures, during the year or period ended September 30, 2007, were as follows: - -------------------------------------------------------------------------------- U.S. Gov't Other Total ($ Thousands) ($ Thousands) ($ Thousands) - -------------------------------------------------------------------------------- LARGE CAP VALUE FUND Purchases ..................... $ -- $ 1,323,185 $ 1,323,185 Sales ......................... -- 1,879,824 1,879,824 LARGE CAP GROWTH FUND Purchases ..................... -- 1,901,340 1,901,340 Sales ......................... -- 2,318,338 2,318,338 TAX-MANAGED LARGE CAP FUND Purchases ..................... -- 1,231,858 1,231,858 Sales ......................... -- 1,149,565 1,149,565 LARGE CAP DIVERSIFIED ALPHA FUND Purchases ..................... 522,494 979,984 1,502,478 Sales ......................... 504,014 761,703 1,265,717 S&P 500 INDEX FUND Purchases ..................... -- 42,092 42,092 Sales ......................... -- 215,618 215,618 - -------------------------------------------------------------------------------- U.S. Gov't Other Total ($ Thousands) ($ Thousands) ($ Thousands) - -------------------------------------------------------------------------------- SMALL CAP VALUE FUND* Purchases ..................... $ -- $ 998,375 $ 998,375 Sales ......................... -- 1,131,503 1,131,503 SMALL CAP GROWTH FUND* Purchases ..................... -- 1,516,468 1,516,468 Sales ......................... -- 1,656,337 1,656,337 TAX-MANAGED SMALL CAP FUND Purchases ..................... -- 314,384 314,384 Sales ......................... -- 259,049 259,049 SMALL/MID CAP DIVERSIFIED ALPHA FUND Purchases ..................... 116,721 119,639 236,360 Sales ......................... 98,228 22,332 120,560 MID-CAP FUND Purchases ..................... -- 353,832 353,832 Sales ......................... -- 283,313 283,313 U.S. MANAGED VOLATILITY FUND Purchases ..................... -- 692,088 692,088 Sales ......................... -- 462,047 462,047 - -------------------------------------------------------------------------------- 228 SEI Institutional Managed Trust / Annual Report / September 30, 2007 - -------------------------------------------------------------------------------- U.S. Gov't Other Total ($ Thousands) ($ Thousands) ($ Thousands) - -------------------------------------------------------------------------------- GLOBAL MANAGED VOLATILITY FUND Purchases ..................... $ -- $ 376,219 $ 376,219 Sales ......................... -- 219,408 219,408 REAL ESTATE FUND Purchases ..................... -- 251,945 251,945 Sales ......................... -- 189,146 189,146 ENHANCED INCOME FUND Purchases ..................... 75,496 171,441 246,937 Sales ......................... 33,573 56,404 89,977 CORE FIXED INCOME FUND Purchases ..................... 17,021,288 1,359,067 18,380,355 Sales ......................... 16,668,646 1,349,122 18,017,768 HIGH YIELD BOND FUND Purchases ..................... 903 1,032,462 1,033,365 Sales ......................... 2,294 878,012 880,306 *Includes in-kind transactions (see Note 9). 6. FEDERAL TAX INFORMATION It is each Fund's intention to continue to qualify as a regulated investment company under Subchapter M of The Internal Revenue Code and distribute all of its taxable income (including net capital gains). Accordingly, no provision for Federal income taxes is required. Dividends from net investment income and distributions from net realized capital gains are determined in accordance with U.S. Federal income tax regulations, which may differ from those amounts determined under accounting principles generally accepted in the United States. These book/tax differences are either temporary or permanent in nature. To the extent these differences are permanent, they are charged or credited to paid-in capital, undistributed net investment income or accumulated net realized gain, as appropriate, in the period that the differences arise. Accordingly, the following permanent differences, primarily attributable to different treatment for gains and losses on paydowns of mortgage- and asset-backed securities for tax purposes, return of capital, swap income reclassification, nontaxable redemption in-kind gain/loss, distribution reclassification, REIT income reclassification and utilization of earnings and profits on shareholder redemptions and net operating losses have been reclassified to/from the following accounts as of September 30, 2007: - -------------------------------------------------------------------------------- Undistributed Accumulated Paid-in Net Investment Realized Capital Income/(Loss) Gain/(Loss) ($ Thousands) ($ Thousands) ($ Thousands) - -------------------------------------------------------------------------------- Large Cap Value Fund $33,472 $ 255 $(33,727) Large Cap Growth Fund -- 69 (69) Tax-Managed Large Cap Fund 437 (368) (69) Large Cap Diversified Alpha Fund 5,940 5 (5,945) S&P 500 Index Fund 4,951 108 (5,059) Small Cap Value Fund 19,230 3,178 (22,408) Small Cap Growth Fund 5,424 3,408 (8,832) Tax-Managed Small Cap Fund 1,247 129 (1,376) Small/Mid Cap Diversified Alpha Fund -- (289) 289 Mid-Cap Fund 4,185 121 (4,306) U.S. Managed Volatility Fund 2,535 11 (2,546) Global Managed Volatility Fund 963 (5,912) 4,949 Real Estate Fund* (160) 2,566 (2,406) Enhanced Income Fund -- 2,079 (2,079) Core Fixed Income Fund -- (4,488) 4,488 High Yield Bond Fund -- 1,400 (1,400) * Information reflects Fund activity based on Fund's December 31, 2006 tax reporting year. The tax character of dividends and distributions paid during the years or period ended September 30, 2007 and September 30, 2006 (unless otherwise indicated) was as follows:
- ------------------------------------------------------------------------------------------------------------------------- Ordinary Income Long-term Capital Gain Return of Capital Total ($ Thousands) ($ Thousands) ($ Thousands) ($ Thousands) - ------------------------------------------------------------------------------------------------------------------------- Large Cap Value Fund 2007 $ 89,084 $ 321,001 $ -- $ 410,085 2006 109,345 203,925 -- 313,270 Large Cap Growth Fund 2007 7,665 -- -- 7,665 2006 6,263 -- -- 6,263 Tax-Managed Large Cap Fund 2007 25,221 -- -- 25,221 2006 19,664 -- -- 19,664 Large Cap Diversified Alpha Fund 2007 15,521 7,983 -- 23,504 2006 5,836 -- -- 5,836 S&P 500 Index Fund 2007(1) 6,937 -- -- 6,937 2007(2) 33,765 26,542 -- 60,307 2006(2) 33,739 68,539 -- 102,278 Small Cap Value Fund 2007 28,891 92,533 -- 121,424 2006 38,571 77,086 -- 115,657 Tax-Managed Small Cap Fund 2007 4,745 19,830 -- 24,575 2006 4,108 10,936 -- 15,044
- -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Annual Report / September 30, 2007 229 Notes to Financial Statements (Continued) September 30, 2007
- ----------------------------------------------------------------------------------------------------------------------------------- Ordinary Income Long-term Capital Gain Return of Capital Total ($ Thousands) ($ Thousands) ($ Thousands) ($ Thousands) - ----------------------------------------------------------------------------------------------------------------------------------- Small/Mid Cap Diversified Alpha Fund 2007 $ 699 $ -- $ -- $ 699 Mid-Cap Fund 2007 1,396 6,038 -- 7,434 2006 4,046 3,186 -- 7,232 U.S. Managed Volatility Fund 2007 9,194 4,209 -- 13,403 2006 4,098 102 -- 4,200 Global Managed Volatility Fund 2007 2,197 45 -- 2,242 Real Estate Fund 2007 6,013 8,207 159 14,379 2006 4,354 1,919 -- 6,273 Enhanced Income Fund 2007 21,572 -- -- 21,572 Core Fixed Income Fund 2007 215,422 -- -- 215,422 2006 194,350 13,007 -- 207,357 High Yield Bond Fund 2007 93,629 -- -- 93,629 2006 89,029 -- -- 89,029
(1) For the six months ended September 30, 2007. The Fund's fiscal year end changed from March 31 to September 30. (2) For the year ended March 31. As of September 30, 2007, the components of Distributable Earnings/(Accumulated Losses) were as follows:
- ------------------------------------------------------------------------------------------------------------- Post Undistributed Undistributed Capital Post October Ordinary Long-Term Loss October Losses Income Capital Gain Carryforwards Losses Currency ($ Thousands) ($ Thousands) ($ Thousands) ($ Thousands) ($ Thousands) - ------------------------------------------------------------------------------------------------------------- Large Cap Value Fund $ 42,493 $ 267,676 $ -- $ -- $ -- Large Cap Growth Fund 2,336 -- (1,081,365) -- -- Tax-Managed Large Cap Fund 6,746 -- (289,958) -- -- Large Cap Diversified Alpha Fund 36,616 30,983 -- -- (1) S&P 500 Index Fund 8,449 76,392 -- -- -- Small Cap Value Fund 30,689 100,430 -- -- (4) Small Cap Growth Fund 12,705 59,544 -- -- -- Tax-Managed Small Cap Fund 3,026 18,159 -- -- -- Small/Mid Cap Diversified Alpha Fund 77 -- (649) -- (4) Mid-Cap Fund 6,433 10,548 -- -- -- U.S. Managed Volatility Fund 11,839 7,176 -- -- -- Global Managed Volatility Fund 7,304 4 -- -- (7,329) Real Estate Fund* 2,519 7,949 -- -- -- Enhanced Income Fund 7,703 -- (526) (2,919) -- Core Fixed Income Fund 14,440 -- (59,119) -- (901) High Yield Bond Fund 17,367 -- (155,388) (2,555) -- - ----------------------------------------------------------------------------------------- Total Distributable Unrealized Other Earnings/ Appreciation Temporary (Accumulated (Depreciation) Differences Losses) ($ Thousands) ($ Thousands) ($ Thousands) - ----------------------------------------------------------------------------------------- Large Cap Value Fund $ 781,060 $ -- $ 1,091,229 Large Cap Growth Fund 751,627 -- (327,402) Tax-Managed Large Cap Fund 719,410 -- 436,198 Large Cap Diversified Alpha Fund 126,083 4 193,685 S&P 500 Index Fund 938,497 -- 1,023,338 Small Cap Value Fund 112,590 -- 243,705 Small Cap Growth Fund 107,954 (277) 179,926 Tax-Managed Small Cap Fund 67,998 -- 89,183 Small/Mid Cap Diversified Alpha Fund (134) -- (710) Mid-Cap Fund 7,000 -- 23,981 U.S. Managed Volatility Fund 46,957 -- 65,972 Global Managed Volatility Fund 12,025 502 12,506 Real Estate Fund* 31,561 -- 42,029 Enhanced Income Fund (18,416) 2,136 (12,022) Core Fixed Income Fund (22,502) (19,809) (87,891) High Yield Bond Fund (35,203) (16,742) (192,521)
* Information reflects Fund activity based on Fund's December 31, 2006 tax reporting year. Post October losses represent losses realized on investment transactions from November 1, 2006 through September 30, 2007 that, in accordance with Federal income tax regulations, the Funds may defer and treat as having arisen in the following fiscal year. For Federal income tax purposes, capital loss carryforwards may be carried forward and applied against future capital gains as follows:
- ----------------------------------------------------------------------------------------------------------------------------- Total Capital Expires Expires Expires Expires Expires Loss 2015 2014 2012 2011 2010 Carryforwards ($ Thousands) ($ Thousands) ($ Thousands) ($ Thousands) ($ Thousands) ($ Thousands) - ----------------------------------------------------------------------------------------------------------------------------- Large Cap Growth Fund $ -- $ -- $ 7,113 $ 625,971 $ 448,281 $ 1,081,365 Small/Mid Cap Diversified Alpha Fund 649 -- -- -- -- 649 Tax-Managed Large Cap Fund -- -- 16,066 203,461 70,431 289,958 Enhanced Income Fund 526 -- -- -- -- 526 Core Fixed Income Fund 40,684 18,435 -- -- -- 59,119 High Yield Bond Fund 21,474 8,149 -- 57,113 68,652 155,388
- -------------------------------------------------------------------------------- 230 SEI Institutional Managed Trust / Annual Report / September 30, 2007 During the year ended September 30, 2007, the Large Cap Growth, Tax-Managed Large Cap and Small Cap Growth Funds utilized $202,062,461, $136,812,157 and $36,498,015, respectively, of capital loss carryforward to offset capital gains. For Federal income tax purposes, the cost of securities owned at September 30, 2007, and the net realized gains or losses on securities sold for the period, were different from amounts reported for financial reporting purposes, primarily due to wash sales which cannot be used for Federal income tax purposes in the current year and have been deferred for use in future years. The Federal tax cost and aggregate gross unrealized appreciation and depreciation on investments held by the Funds at September 30, 2007, were as follows:
- ---------------------------------------------------------------------------------------------------- Net Unrealized Federal Appreciated Depreciated Appreciation/ Tax Cost Securities Securities (Depreciation) ($ Thousands) ($ Thousands) ($ Thousands) ($ Thousands) - ---------------------------------------------------------------------------------------------------- Large Cap Value Fund $ 3,267,690 $ 847,995 $ (66,935) $ 781,060 Large Cap Growth Fund 3,319,383 788,286 (36,659) 751,627 Tax-Managed Large Cap Fund 2,553,635 745,232 (25,822) 719,410 Large Cap Diversified Alpha Fund 1,844,190 187,491 (54,570) 132,921 S&P 500 Index Fund 955,631 963,525 (25,028) 938,497 Small Cap Value Fund 1,368,200 180,002 (67,412) 112,590 Small Cap Growth Fund 1,442,115 164,689 (56,791) 107,898 Tax-Managed Small Cap Fund 459,711 83,958 (15,960) 67,998 Small/Mid Cap Diversified Alpha Fund 152,559 8,904 (8,740) 164 Mid-Cap Fund 175,857 15,331 (8,331) 7,000 U.S. Managed Volatility Fund 538,171 59,111 (12,154) 46,957 Global Managed Volatility Fund 260,762 20,837 (8,445) 12,392 Real Estate 286,915 34,581 (3,020) 31,561 Enhanced Income Fund 650,176 1,456 (16,426) (14,970) Core Fixed Income Fund 6,356,382 46,451 (58,328) (11,877) High Yield Bond Fund 1,467,834 8,057 (43,260) (35,203)
7. SECURITIES LENDING Each Fund may lend portfolio securities to brokers, dealers and other financial organizations that meet capital and other credit requirements or other criteria established by the Trust's Board of Trustees. These loans may not exceed 33 1 /3% of the total asset value of the Fund (including the loan collateral). No Fund will lend portfolio securities to its Adviser, sub-adviser or their affiliates unless it has applied for and received specific authority to do so from the SEC. Loans of portfolio securities will be fully collateralized by cash. Collateral will be maintained in an amount equal to at least 100% of the current market value of the loaned securities by marking to market daily, although the borrower will be required to deliver collateral of 102% and 105% of the market value of borrowed securities for domestic and foreign securities, respectively. However, due to market fluctuations during the day, the value of securities loaned on a particular day may, during the course of the day, exceed the value of collateral. On each business day, the amount of collateral is adjusted based on the prior day's market fluc-tuations and the current day's lending activity. Income from lending activity is determined by the amount of interest earned on collateral, less any amounts payable to the borrowers of the securities and the lending agent. Lending securities involves certain risks, including the risk that the Fund may be delayed or prevented from recovering the collateral if the borrower fails to return the securities. Cash collateral received in connection with securities lending is invested in short-term investments by the lending agent. These investments may include repurchase agreements, which are collateralized by United States Treasury and Government Agency securities, and high-quality, short-term instruments, such as floating rate corporate obligations, commercial paper, and private placements with an average weighted maturity not to exceed 60 days and a maturity not to exceed 397 days. 8. CONCENTRATIONS/RISKS In the normal course of business, the Funds enter into contracts that provide general indemnifications by the Funds to the counterparty to the contract. The Funds' maximum exposure under these arrangements is dependent on future claims that may be made against the Funds and, therefore, cannot be estimated; however, based on experience, the risk of loss from such claims is considered remote. The market values of the Core Fixed Income and High Yield Bond Funds' investments will change in response to interest rate changes and other factors. During periods of falling interest rates, the values of fixed income securities generally rise. Conversely, during periods of rising interest rates, the values of such securities generally decline. Changes by recognized rating agencies in the ratings of any fixed income security and in the ability of an issuer to make payments of interest and principal may also affect the value of these investments. - -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Annual Report / September 30, 2007 231 Notes to Financial Statements (Concluded) September 30, 2007 9. IN-KIND TRANSFER OF SECURITIES During the year ended September 30, 2007, the Small Cap Value and Small Cap Growth Funds redeemed shares of beneficial interest in exchange for securities. The securities were transferred at their current value on the date of transaction. - ------------------------------------------------------------------------------ Transaction Shares Gain Date Redeemed Value (Loss) - ------------------------------------------------------------------------------ Small Cap Value Fund 10/31/06 2,111,117 $ 47,246,783 $ 2,167,503 Small Cap Growth Fund 10/31/06 3,291,723 64,649,433 (4,305,289) During the year ended March 31, 2007, the S&P 500 Index Fund redeemed shares of beneficial interest in exchange for securities. The securities were transferred at their current value on the date of transaction. - ------------------------------------------------------------------------------ Transaction Date Shares Redeemed Value Gain - ------------------------------------------------------------------------------ 10/31/06 1,159,503 $ 47,458,439 $ 4,367,598 During the year ended March 31, 2006, the S&P 500 Index Fund issued shares of beneficial interest in exchange for securities. The securities were transferred at their current value on the date of transaction. - ------------------------------------------------------------------------------ Transaction Shares Date Issued Value - ------------------------------------------------------------------------------ 09/30/05 5,036,833 $ 191,047,087 03/31/06 845,413 32,531,494 10. NEW ACCOUNTING PRONOUNCEMENTS On July 13, 2006, the Financial Accounting Standards Board ("FASB") released FASB Interpretation No. 48 ("FIN 48"), "Accounting for Uncertainty in Income Taxes". This standard defines the threshold for recognizing the benefits of tax-return positions in the financial statements as "more-likely-than-not" to be sustained by the taxing authority and requires measurement of a tax position meeting the more-likely-than-not criterion, based on the largest benefit that is more than 50 percent likely to be realized. FIN 48 is effective as of the beginning of the first fiscal year beginning after December 15, 2006. At adoption, companies must adjust their financial statements to reflect only those tax positions that are more-likely-than-not to be sustained as of the adoption date. Adoption of FIN 48 is required for fiscal years beginning after December 15, 2006 and is to be applied to all open tax years as of the effective date. Recent SEC guidance allows implementing FIN 48 in fund asset calculations as late as the fund's last net asset value calculation in the first required financial statement reporting period. As a result, the Funds, with the exception of the S&P 500 Index and Small/Mid Cap Diversified Alpha Funds, will incorporate FIN 48 in their semi-annual report of March 31, 2008. As of September 30, 2007, management does not anticipate a material impact to the financial statements. The S&P 500 Index and Small/Mid Cap Diversified Alpha Funds adopted FIN 48 and management has determined that the adoption of FIN 48 did not have a material impact to the Fund's financial statements. However, management's conclusions regarding FIN 48 could change in the future to the extent there are changes in tax laws and/or additional guidance from the IRS regarding interpretations of existing laws. In September 2006, the FASB issued Statement on Financial Accounting Standards ("SFAS") No. 157, "Fair Value Measurements". This standard establishes a single authoritative definition of fair value, sets out a framework for measuring fair value and requires additional disclosures about fair value measurements. SFAS No. 157 applies to fair value measurements already required or permitted by existing standards. SFAS No. 157 is effective for financial statements issued for fiscal years beginning after November 15, 2007 and interim periods within those fiscal years. The changes to current generally accepted accounting principles from the application of this Statement relate to the definition of fair value, the methods used to measure fair value, and the expanded disclosures about fair value measurements. As of September 30, 2007, the Funds do not believe the adoption of SFAS No. 157 will impact the amounts reported in the financial statements, however, additional disclosures may be required about the inputs used to develop the measurements and the effect of certain of the measurements reported in the financial statements for a fiscal period. 11. OTHER MATTERS Due to volatility in the fixed income and equity markets, the market value of some of the Fund's holdings may currently be lower than shown in the Schedules of Investments ("SOI"). The values shown in the SOI's were the market values as of September 30, 2007 and do not reflect any market events after September 30, 2007. - -------------------------------------------------------------------------------- 232 SEI Institutional Managed Trust / Annual Report / September 30, 2007 Report of Independent Registered Public Accounting Firm To the Board of Trustees and Shareholders of SEI Institutional Managed Trust We have audited the accompanying statements of assets and liabilities, including the schedules of investments of SEI Institutional Managed Trust, comprising the Large Cap Value Fund, Large Cap Growth Fund, Tax-Managed Large Cap Fund, Large Cap Diversified Alpha Fund, S&P 500 Index Fund, Small Cap Value Fund, Small Cap Growth Fund, Tax-Managed Small Cap Fund, Small/Mid Cap Diversified Alpha Fund, Mid-Cap Fund, U.S. Managed Volatility Fund, Global Managed Volatility Fund, Real Estate Fund, Enhanced Income Fund, Core Fixed Income Fund and High Yield Bond Fund (collectively, the "Funds"), as of September 30, 2007, and the related statements of operations for the year or period then ended, the changes in net assets and the financial highlights for each of the years or periods in the two-year period then ended, and the statements of operations, the changes in net assets and financial highlights for the year ended March 31, 2006 for the S&P 500 Index Fund. These financial statements and financial highlights are the responsibility of the Funds' management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits. The financial highlights of the Tax-Managed Large Cap Fund, Large Cap Value Fund, Large Cap Growth Fund, Tax-Managed Small Cap Fund, Small Cap Value Fund, Small Cap Growth Fund, Mid-Cap Fund, U.S. Managed Volatility Fund, Real Estate Fund, Core Fixed Income Fund and High Yield Bond Fund for the years or periods ended September 30, 2005 and prior, were audited by other auditors. The financial highlights of the S&P 500 Index Fund for the periods presented through March 31, 2005 were audited by other auditors. Those auditors expressed an unqualified opinion on those financial highlights in their reports dated November 28, 2005 and May 31, 2005, respectively. We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements. Our procedures included confirmation of securities owned as of September 30, 2007, by correspondence with custodians and brokers. As to securities purchased or sold but not yet received or delivered, we performed other appropriate auditing procedures. An audit also includes assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. We believe that our audits provide a reasonable basis for our opinion. In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of each of the funds comprising SEI Institutional Managed Trust as of September 30, 2007, the results of their operations, the changes in their net assets, and the financial highlights for each of the periods indicated in the first paragraph above, in conformity with U.S. generally accepted accounting principles. /s/ KPMG LLP Philadelphia, Pennsylvania November 27, 2007 - -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Annual Report / September 30, 2007 233 TRUSTEES AND OFFICERS OF THE TRUST (Unaudited) The following chart lists Trustees and Officers as of November 15, 2007. Set forth below are the names, addresses, ages, position with the Trust, Term of Office and Length of Time Served, the principal occupations for the last five years, number of portfolios in fund complex overseen by trustee, and other directorships outside the fund complex of each of the persons currently serving as Trustees and Officers of the Trust. The Trust's Statement of Additional Information ("SAI") includes additional information about the Trustees and Officers. The SAI may be obtained without charge by calling 1-800-342-5734.
- ------------------------------------------------------------------------------------------------------------------------------------ TERM OF NUMBER OF OFFICE PORTFOLIOS AND PRINCIPAL IN FUND NAME POSITION(S) LENGTH OF OCCUPATION(S) COMPLEX OTHER DIRECTORSHIPS ADDRESS, HELD WITH TIME DURING PAST OVERSEEN HELD BY AND AGE TRUSTS SERVED 1 FIVE YEARS BY TRUSTEE 2 TRUSTEE - ------------------------------------------------------------------------------------------------------------------------------------ INTERESTED TRUSTEES - ------------------- Robert A. Nesher Chairman since 1982 Currently performs various 77 Trustee of The Advisors' Inner One Freedom of the services on behalf of SEI Circle Fund, The Advisors' Valley Drive, Board of for which Mr. Nesher is Inner Circle Fund II, Bishop Oaks, PA 19456 Trustees* compensated. Street Funds, Director of SEI 61 yrs. old Global Master Fund, plc, SEI Global Assets Fund, plc, SEI Global Investments Fund, plc, SEI Investments Global, Limited, SEI Investments -- Global Fund Services, Limited, SEI Investments (Europe), Limited, SEI Investments -- Unit Trust Management (UK), Limited, SEI Global Nominee Ltd., SEI Opportunity Master Fund, L.P., SEI Opportunity Fund, L.P., SEI Multi-Strategy Funds plc, SEI Structured Credit Fund, L.P. and SEI Alpha Strategy Portfolios, LP - ------------------------------------------------------------------------------------------------------------------------------------ William M. Doran Trustee* since 1982 Self-employed consultant 77 Trustee of The Advisors' Inner 1701 Market Street since 2003. Partner, Circle Fund, The Advisors' Philadelphia, PA Morgan, Lewis & Bockius Inner Circle Fund II, Bishop 19103 LLP (law firm) from 1976 Street Funds, Director of SEI 67 yrs. old to 2003, counsel to the since 1974. Director of the Trust, SEI, SIMC, the Distributor since 2003. Administrator and the Director of SEI Investments -- Distributor. Secretary of Global Fund Services, Limited, SEI since 1978. SEI Investments Global, Limited, SEI Investments (Europe), Limited, SEI Investments (Asia), Limited, SEI Asset Korea Co., Ltd. and SEI Alpha Strategy Portfolios, LP - ------------------------------------------------------------------------------------------------------------------------------------ TRUSTEES - -------- F. Wendell Gooch Trustee since 1982 Retired 77 Trustee of STI Classic Funds One Freedom and STI Classic Variable Trust. Valley Drive, Oaks, PA 19456 74 yrs. old - ------------------------------------------------------------------------------------------------------------------------------------ James M. Storey Trustee since 1995 Attorney, sole 77 Trustee of The Advisors' Inner One Freedom practitioner since 1994. Circle Fund, The Advisors' Valley Drive, Partner, Dechert Price & Inner Circle Fund II, Bishop Oaks, PA 19456 Rhoads, September 1987- Street Funds, Massachusetts 76 yrs. old December 1993. Health and Education Tax- Exempt Trust, U.S. Charitable Gift Trust and SEI Alpha Strategy Portfolios, LP - ------------------------------------------------------------------------------------------------------------------------------------
*MESSRS. NESHER AND DORAN ARE TRUSTEES WHO MAY BE DEEMED AS "INTERESTED" PERSONS OF THE TRUST AS THAT TERM IS DEFINED IN THE 1940 ACT BY VIRTUE OF THEIR AFFILIATION WITH SIMC AND THE TRUST'S DISTRIBUTOR. 1EACH TRUSTEE SHALL HOLD OFFICE DURING THE LIFETIME OF THIS TRUST UNTIL THE ELECTION AND QUALIFICATION OF HIS OR HER SUCCESSOR, OR UNTIL HE OR SHE SOONER DIES, RESIGNS OR IS REMOVED IN ACCORDANCE WITH THE TRUST'S DECLARATION OF TRUST. 2THE FUND COMPLEX INCLUDES THE FOLLOWING: SEI ASSET ALLOCATION TRUST, SEI DAILY INCOME TRUST, SEI INSTITUTIONAL INVESTMENTS TRUST, SEI INSTITUTIONAL INTERNATIONAL TRUST, SEI INSTITUTIONAL MANAGED TRUST, SEI LIQUID ASSET TRUST, SEI TAX EXEMPT TRUST AND SEI ALPHA STRATEGY PORTFOLIOS, LP. - -------------------------------------------------------------------------------- 234 SEI Institutional Managed Trust / Annual Report / September 30, 2007
- ------------------------------------------------------------------------------------------------------------------------------------ TERM OF NUMBER OF OFFICE PORTFOLIOS AND PRINCIPAL IN FUND NAME POSITION(S) LENGTH OF OCCUPATION(S) COMPLEX OTHER DIRECTORSHIPS ADDRESS, HELD WITH TIME DURING PAST OVERSEEN HELD BY AND AGE TRUSTS SERVED 1 FIVE YEARS BY TRUSTEE 2 TRUSTEE - ------------------------------------------------------------------------------------------------------------------------------------ TRUSTEES (CONTINUED) - -------------------- George J. Sullivan, Jr. Trustee since 1996 Self-Employed Consultant, 77 Trustee of The Advisors' Inner One Freedom Newfound Consultants Inc. Circle Fund, The Advisors' Valley Drive since April 1997. Inner Circle Fund II, Bishop Oaks, PA 19456 Street Funds, State Street 65 yrs. old Navigator Securities Lending Trust, SEI Opportunity Master Fund, L.P., SEI Opportunity Fund, L.P., SEI Structured Credit Fund L.P. and SEI Alpha Strategy Portfolios, LP - ------------------------------------------------------------------------------------------------------------------------------------ Rosemarie B. Greco Trustee since 1999 Director, Governor's 77 Director, Sonoco, Inc.; One Freedom Office of Health Care Director, Exelon Corporation; Valley Drive Reform, Commonwealth of Trustee, Pennsylvania Real Oaks, PA 19456 Pennsylvania since 2003. Estate Investment Trust and SEI 61 yrs. old Founder and Principal, Alpha Strategy Portfolios, LP Grecoventures Ltd. from 1999 to 2002. - ------------------------------------------------------------------------------------------------------------------------------------ Nina Lesavoy Trustee since 2003 Managing Partner, Cue 77 Director of SEI Opportunity One Freedom Capital since March 2002, Master Fund, L.P., SEI Valley Drive, Managing Partner and Head Opportunity Fund, L.P., SEI Oaks, PA 19456 of Sales, Investorforce, Structured Credit Fund L.P. and 50 yrs. old March 2000-December 2001; SEI Alpha Strategy Portfolios, Global Partner working for LP the CEO, Invesco Capital, January 1998-January 2000. Head of Sales and Client Services, Chancellor Capital and later LGT Asset Management, 1986-2000. - ------------------------------------------------------------------------------------------------------------------------------------ James M. Williams Trustee since 2004 Vice President and Chief 77 Trustee/Director of Ariel One Freedom Investment Officer, J. Mutual Funds, SEI Opportunity Valley Drive, Paul Getty Trust, Master Fund, L.P., SEI Oaks, PA 19456 Non-Profit Foundation for Opportunity Fund, L.P., SEI 60 yrs. old Visual Arts, since Structured Credit Fund L.P. and December 2002. President, SEI Alpha Strategy Portfolios, Harbor Capital Advisors LP and Harbor Mutual Funds, 2000-2002. Manager, Pension Asset Management, Ford Motor Company, 1997-1999. - ------------------------------------------------------------------------------------------------------------------------------------ Mitchell A. Johnson Trustee since 2007 Private Investor since 77 Trustee of The Advisors' Inner One Freedom 1994. Director, Federal Circle Fund, The Advisors' Valley Drive, Agricultural Mortgage Inner Circle Fund II, Bishop Oaks, PA 19456 Corporation (Farmer Mac). Street Funds and SEI Alpha 65 yrs. old Strategy Portfolios, LP - ------------------------------------------------------------------------------------------------------------------------------------ OFFICERS - -------- Robert A. Nesher President since 2005 Currently performs various N/A N/A One Freedom & CEO services on behalf of SEI Valley Drive, for which Mr. Nesher is Oaks, PA 19456 compensated. 61 yrs. old - ------------------------------------------------------------------------------------------------------------------------------------ Stephen F. Panner Controller and since 2005 Fund Accounting Director N/A N/A One Freedom Chief of the Administrator since Valley Drive, Financial 2005. Fund Administration Oaks, PA 19456 Officer Manager, Old Mutual Fund 37 yrs. old Services, 2000-2005. Chief Financial Officer, Controller and Treasurer, PBHG Funds and PBHG Insurance Series Fund, 2004-2005. Assistant Treasurer, PBHG Funds and PBHG Insurance Series Fund, 2000-2004. Assistant Treasurer, Old Mutual Fund Advisors Fund, 2004-2005. - ------------------------------------------------------------------------------------------------------------------------------------
- -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Annual Report / September 30, 2007 235 TRUSTEES AND OFFICERS OF THE TRUST (Unaudited) (Concluded)
- ------------------------------------------------------------------------------------------------------------------------------------ TERM OF NUMBER OF OFFICE PORTFOLIOS AND PRINCIPAL IN FUND NAME POSITION(S) LENGTH OF OCCUPATION(S) COMPLEX OTHER DIRECTORSHIPS ADDRESS, HELD WITH TIME DURING PAST OVERSEEN HELD BY AND AGE TRUSTS SERVED 1 FIVE YEARS BY TRUSTEE 2 TRUSTEE - ------------------------------------------------------------------------------------------------------------------------------------ OFFICERS (CONTINUED) - -------------------- Russell Emery Chief since 2006 Chief Compliance Officer N/A N/A One Freedom Compliance of SEI Opportunity Master Valley Drive Officer Fund, L.P., SEI Oaks, PA 19456 Opportunity Fund, L.P., 44 yrs. old SEI Structured Credit Fund, L.P., The Advisors' Inner Circle Fund, The Advisors' Inner Circle Fund II, and Bishop Street Funds since March 2006. Director of Investment Product Management and Development of SIMC, February 2003-March 2006. Senior Investment Analyst --Equity Team of SEI, March 2000-February 2003. - ------------------------------------------------------------------------------------------------------------------------------------ Timothy D. Barto Vice since 2002 General Counsel, Vice N/A N/A One Freedom President President and Secretary of Valley Drive and SIMC and the Administrator Oaks, PA 19456 Secretary since 2004. Vice President 39 yrs. old and Assistant Secretary of SEI since 2001. Vice President of SIMC and the Administrator since 1999. Assistant Secretary of SIMC, the Administrator and the Distributor and Vice President of the Distributor, 1999-2003. - ------------------------------------------------------------------------------------------------------------------------------------ Sofia A. Rosala Vice since 2004 Vice President and N/A N/A One Freedom President Assistant Secretary of Valley Drive and SIMC and the Administrator Oaks, PA 19456 Assistant since 2005. Compliance 33 yrs. old Secretary Officer of SEI, September 2001-2004. - ------------------------------------------------------------------------------------------------------------------------------------ James Ndiaye Vice since 2005 Vice President and N/A N/A One Freedom President Assistant Secretary of Valley Drive and SIMC since 2005. Vice Oaks, PA 19456 Assistant President, Deutsche Asset 39 yrs. old Secretary Management (2003-2004). Associate, Morgan, Lewis & Bockius LLP (2000-2003). - ------------------------------------------------------------------------------------------------------------------------------------ Michael T. Pang Vice since 2005 Vice President and N/A N/A One Freedom President Assistant Secretary of Valley Drive and SIMC since 2005. Counsel, Oaks, PA 19456 Assistant Caledonian Bank & Trust's 35 yrs. old Secretary Mutual Funds Group (2004). Counsel, Permal Asset Management (2001-2004). - ------------------------------------------------------------------------------------------------------------------------------------ John J. McCue Vice since 2004 Director of Portfolio N/A N/A One Freedom President Implementations for SIMC Valley Drive since 1995. Managing Oaks, PA 19456 Director of Money Market 44 yrs. old Investments for SIMC since 2003. - ------------------------------------------------------------------------------------------------------------------------------------ Nicole Welch Anti-Money since 2005 Assistant Vice President N/A N/A One Freedom Laundering and Anti-Money Laundering Valley Drive Compliance Compliance Coordinator of Oaks, PA 19456 Officer SEI since 2005. Compliance 30 yrs. old Analyst, TD Waterhouse (2004). Senior Compliance Analyst, UBS Financial Services (2002-2004). Knowledge Management Analyst, PriceWaterhouseCoopers Consulting (2000-2002). - ------------------------------------------------------------------------------------------------------------------------------------
1EACH TRUSTEE SHALL HOLD OFFICE DURING THE LIFETIME OF THIS TRUST UNTIL THE ELECTION AND QUALIFICATION OF HIS OR HER SUCCESSOR, OR UNTIL HE OR SHE SOONER DIES, RESIGNS OR IS REMOVED IN ACCORDANCE WITH THE TRUST'S DECLARATION OF TRUST. 2THE FUND COMPLEX INCLUDES THE FOLLOWING: SEI ASSET ALLOCATION TRUST, SEI DAILY INCOME TRUST, SEI INSTITUTIONAL INVESTMENTS TRUST, SEI INSTITUTIONAL INTERNATIONAL TRUST, SEI INSTITUTIONAL MANAGED TRUST, SEI LIQUID ASSET TRUST, SEI TAX EXEMPT TRUST, AND SEI ALPHA STRATEGY PORTFOLIOS, LP. - -------------------------------------------------------------------------------- 236 SEI Institutional Managed Trust / Annual Report / September 30, 2007 Disclosure of Fund Expenses (Unaudited) All mutual funds have operating expenses. As a shareholder of a mutual fund, your investment is affected by these ongoing costs, which include (among others) costs for portfolio management, administrative services, and shareholder reports like this one. It is important for you to understand the impact of these costs on your investment returns. Operating expenses such as these are deducted from the mutual fund's gross income and directly reduce your final investment return. These expenses are expressed as a percentage of the mutual fund's average net assets; this percentage is known as the mutual fund's expense ratio. The following examples use the expense ratio and are intended to help you understand the ongoing costs (in dollars) of investing in your Fund and to compare these costs with those of other mutual funds. The examples are based on an investment of $1,000 made at the beginning of the period shown and held for the entire period. The table on the next page illustrates your Fund's costs in two ways: o ACTUAL FUND RETURN. This section helps you to estimate the actual expenses after fee waivers that your Fund incurred over the period. The "Expenses Paid During Period" column shows the actual dollar expense cost incurred by a $1,000 investment in the Fund, and the "Ending Account Value" number is derived from deducting that expense cost from the Fund's gross investment return. You can use this information, together with the actual amount you invested in your Fund, to estimate the expenses you paid over that period. Simply divide your actual starting account value by $1,000 to arrive at a ratio (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply that ratio by the number shown for your Fund under "Expenses Paid During Period." o HYPOTHETICAL 5% RETURN. This section helps you compare your Fund's costs with those of other mutual funds. It assumes that your Fund had an annual 5% return before expenses during the year, but that the expense ratio (Column 3) is unchanged. This example is useful in making comparisons because the Securities and Exchange Commission requires all mutual funds to make this 5% calculation. You can assess your Fund's comparative cost by comparing the hypothetical result for your Fund in the "Expense Paid During Period" column with those that appear in the same charts in the shareholder reports for other mutual funds. NOTE: Because the return is set at 5% for comparison purposes -- NOT your Fund's actual return -- the account values shown do not apply to your specific investment. - -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Annual Report / September 30, 2007 237 BEGINNING ENDING EXPENSE ACCOUNT ACCOUNT ANNUALIZED PAID VALUE VALUE EXPENSE DURING 4/1/07 9/30/07 RATIOS PERIOD* - ---------------------------------------------------------------------------- LARGE CAP VALUE FUND - ---------------------------------------------------------------------------- ACTUAL FUND RETURN Class A Shares $ 1,000.00 $ 1,042.20 0.86% $ 4.40 Class I Shares 1,000.00 1,041.10 1.11 5.68 HYPOTHETICAL 5% RETURN Class A Shares $ 1,000.00 $ 1,020.76 0.86% $ 4.36 Class I Shares 1,000.00 1,019.50 1.11 5.62 - ---------------------------------------------------------------------------- LARGE CAP GROWTH FUND - ---------------------------------------------------------------------------- ACTUAL FUND RETURN Class A Shares $ 1,000.00 $ 1,118.90 0.86% $ 4.57 Class I Shares 1,000.00 1,117.60 1.11 5.89 HYPOTHETICAL 5% RETURN Class A Shares $ 1,000.00 $ 1,020.76 0.86% $ 4.36 Class I Shares 1,000.00 1,019.50 1.11 5.62 - ---------------------------------------------------------------------------- TAX-MANAGED LARGE CAP FUND - ---------------------------------------------------------------------------- ACTUAL FUND RETURN Class A Shares $ 1,000.00 $ 1,086.20 0.86% $ 4.50 Class Y Shares 1,000.00 1,087.60 0.56 2.93 HYPOTHETICAL 5% RETURN Class A Shares $ 1,000.00 $ 1,020.76 0.86% $ 4.36 Class Y Shares 1,000.00 1,022.26 0.56 2.84 - ---------------------------------------------------------------------------- LARGE CAP DIVERSIFIED ALPHA FUND - ---------------------------------------------------------------------------- ACTUAL FUND RETURN Class A Shares $ 1,000.00 $ 1,062.20 1.02% $ 5.27 Class I Shares 1,000.00 1,061.50 1.27 6.56 HYPOTHETICAL 5% RETURN Class A Shares $ 1,000.00 $ 1,019.95 1.02% $ 5.16 Class I Shares 1,000.00 1,018.70 1.27 6.43 - ---------------------------------------------------------------------------- S&P 500 INDEX FUND - ---------------------------------------------------------------------------- ACTUAL FUND RETURN Class A Shares $ 1,000.00 $ 1,082.80 0.40% $ 2.09 Class E Shares 1,000.00 1,083.40 0.25 1.31 Class I Shares 1,000.00 1,081.20 0.65 3.39 HYPOTHETICAL 5% RETURN Class A Shares $ 1,000.00 $ 1,023.06 0.40% $ 2.03 Class E Shares 1,000.00 1,023.82 0.25 1.27 Class I Shares 1,000.00 1,021.81 0.65 3.29 - ---------------------------------------------------------------------------- SMALL CAP VALUE FUND - ---------------------------------------------------------------------------- ACTUAL FUND RETURN Class A Shares $ 1,000.00 $ 978.10 1.11% $ 5.50 Class I Shares 1,000.00 976.90 1.36 6.74 HYPOTHETICAL 5% RETURN Class A Shares $ 1,000.00 $ 1,019.50 1.11% $ 5.62 Class I Shares 1,000.00 1,018.25 1.36 6.88 - ---------------------------------------------------------------------------- SMALL CAP GROWTH FUND - ---------------------------------------------------------------------------- ACTUAL FUND RETURN Class A Shares $ 1,000.00 $ 1,062.60 1.11% $ 5.74 Class I Shares 1,000.00 1,061.50 1.36 7.03 HYPOTHETICAL 5% RETURN Class A Shares $ 1,000.00 $ 1,019.50 1.11% $ 5.62 Class I Shares 1,000.00 1,018.25 1.36 6.88 - ---------------------------------------------------------------------------- TAX-MANAGED SMALL CAP FUND - ---------------------------------------------------------------------------- ACTUAL FUND RETURN Class A Shares $ 1,000.00 $ 1,039.30 1.11% $ 5.67 HYPOTHETICAL 5% RETURN Class A Shares $ 1,000.00 $ 1,019.50 1.11% $ 5.62 - ---------------------------------------------------------------------------- SMALL/MID CAP DIVERSIFIED ALPHA FUND - ---------------------------------------------------------------------------- ACTUAL FUND RETURN Class A Shares $ 1,000.00 $ 987.70 1.25% $ 6.23 HYPOTHETICAL 5% RETURN Class A Shares $ 1,000.00 $ 1,018.80 1.25% $ 6.33 - ---------------------------------------------------------------------------- MID-CAP FUND - ---------------------------------------------------------------------------- ACTUAL FUND RETURN Class A Shares $ 1,000.00 $ 1,018.20 1.01% $ 5.11 HYPOTHETICAL 5% RETURN Class A Shares $ 1,000.00 $ 1,020.00 1.01% $ 5.11 BEGINNING ENDING EXPENSE ACCOUNT ACCOUNT ANNUALIZED PAID VALUE VALUE EXPENSE DURING 4/1/07 9/30/07 RATIOS PERIOD* - ---------------------------------------------------------------------------- U.S. MANAGED VOLATILITY FUND - ---------------------------------------------------------------------------- ACTUAL FUND RETURN Class A Shares $ 1,000.00 $ 1,056.00 1.00% $ 5.15 HYPOTHETICAL 5% RETURN Class A Shares $ 1,000.00 $ 1,020.05 1.00% $ 5.06 - ---------------------------------------------------------------------------- GLOBAL MANAGED VOLATILITY FUND - ---------------------------------------------------------------------------- ACTUAL FUND RETURN Class A Shares $ 1,000.00 $ 1,009.00 1.12% $ 5.64 HYPOTHETICAL 5% RETURN Class A Shares $ 1,000.00 $ 1,019.45 1.12% $ 5.67 - ---------------------------------------------------------------------------- REAL ESTATE FUND - ---------------------------------------------------------------------------- ACTUAL FUND RETURN Class A Shares $ 1,000.00 $ 928.90 1.11% $ 5.37 HYPOTHETICAL 5% RETURN Class A Shares $ 1,000.00 $ 1,019.50 1.11% $ 5.62 - ---------------------------------------------------------------------------- ENHANCED INCOME FUND - ---------------------------------------------------------------------------- ACTUAL FUND RETURN Class A Shares $ 1,000.00 $ 997.40 0.60% $ 3.00 HYPOTHETICAL 5% RETURN Class A Shares $ 1,000.00 $ 1,022.06 0.60% $ 3.04 - ---------------------------------------------------------------------------- CORE FIXED INCOME FUND - ---------------------------------------------------------------------------- ACTUAL FUND RETURN Class A Shares $ 1,000.00 $ 1,010.60 0.64% $ 3.23 Class I Shares 1,000.00 1,010.30 0.89 4.49 HYPOTHETICAL 5% RETURN Class A Shares $ 1,000.00 $ 1,021.86 0.64% $ 3.24 Class I Shares 1,000.00 1,020.61 0.89 4.51 - ---------------------------------------------------------------------------- HIGH YIELD BOND FUND - ---------------------------------------------------------------------------- ACTUAL FUND RETURN Class A Shares $ 1,000.00 $ 998.00 0.86% $ 4.31 HYPOTHETICAL 5% RETURN Class A Shares $ 1,000.00 $ 1,020.76 0.86% $ 4.36 *Expenses are equal to the Fund's annualized expense ratio multiplied by the average account value over the period, multiplied by 183/365 (to reflect one-half year period shown). BEGINNING ENDING EXPENSE ACCOUNT ACCOUNT ANNUALIZED PAID VALUE VALUE EXPENSE DURING 6/29/07(1) 9/30/07 RATIOS PERIOD - ---------------------------------------------------------------------------- U.S. MANAGED VOLATILITY FUND - ---------------------------------------------------------------------------- ACTUAL FUND RETURN Class I Shares $ 1,000.00 $ 996.80 1.36% $ 3.46* HYPOTHETICAL 5% RETURN Class I Shares $ 1,000.00 $ 1,018.25 1.36% $ 6.88** - ---------------------------------------------------------------------------- ENHANCED INCOME FUND - ---------------------------------------------------------------------------- ACTUAL FUND RETURN Class I Shares $ 1,000.00 $ 979.90 0.85% $ 2.14* HYPOTHETICAL 5% RETURN Class I Shares $ 1,000.00 $ 1,020.81 0.85% $ 4.31** (1) Date of inception *Expenses are equal to the Fund's annualized expense ratio multiplied by the average account value over the period, multiplied by 93/365 (to reflect the period since inception). **Expenses are equal to the Fund's annualized expense ratio multiplied by the average account value over the period, multiplied by 183/365 (to reflect one-half year period shown). BEGINNING ENDING EXPENSE ACCOUNT ACCOUNT ANNUALIZED PAID VALUE VALUE EXPENSE DURING 6/30/07(1) 9/30/07 RATIOS PERIOD - ---------------------------------------------------------------------------- GLOBAL MANAGED VOLATILITY FUND - ---------------------------------------------------------------------------- ACTUAL FUND RETURN Class I Shares $ 1,000.00 $ 978.20 1.36% $ 3.39* HYPOTHETICAL 5% RETURN Class I Shares $ 1,000.00 $ 1,018.25 1.36% $ 6.88** (1) Date of inception * Expenses are equal to the Fund's annualized expense ratio multiplied by the average account value over the period, multiplied by 92/365 (to reflect the period since inception). ** Expenses are equal to the Fund's annualized expense ratio multiplied by the average account value over the period, multiplied by 183/365 (to reflect one-half year period shown). - -------------------------------------------------------------------------------- 238 SEI Institutional Managed Trust / Annual Report / September 30, 2007 Board of Trustees Considerations in Approving the Advisory and Sub-Advisory Agreements (Unaudited) The SEI Institutional Managed Trust (the "Trust") and SEI Investments Management Corporation ("SIMC") have entered into an investment advisory agreement (the "Advisory Agreement"). Pursuant to the Advisory Agreement, SIMC oversees the investment advisory services provided to the series of the Trust (the "Funds") and may manage the cash portion of the Funds' assets. Pursuant to separate sub-advisory agreements (the "Sub-Advisory Agreements" and, together with the Advisory Agreement, the "Investment Advisory Agreements") with SIMC, and under the supervision of SIMC and the Trust's Board of Trustees (the "Board"), the Sub-Advisers are responsible for the day-to-day investment management of all or a discrete portion of the assets of the Funds. The Sub-Advisers also are responsible for managing their employees who provide services to these Funds. The Sub-Advisers are selected based primarily upon the research and recommendations of SIMC, which evaluates quantitatively and qualitatively the Sub-Advisers' skills and investment results in managing assets for specific asset classes, investment styles and strategies. The Investment Company Act of 1940, as amended (the "1940 Act") requires that the initial approval of, as well as the continuation of, the Funds' Investment Advisory Agreements must be specifically approved: (i) by the vote of the Board of Trustees or by a vote of the shareholders of the Funds; and (ii) by the vote of a majority of the Trustees who are not parties to the Investment Advisory Agreements or "interested persons" of any party (the "Independent Trustees"), cast in person at a meeting called for the purpose of voting on such approval. In connection with their consideration of such approvals, the Funds' Trustees must request and evaluate, and SIMC and the Sub-Advisers are required to furnish, such information as may be reasonably necessary to evaluate the terms of the Investment Advisory Agreements. In addition, the Securities and Exchange Commission ("SEC") takes the position that, as part of their fiduciary duties with respect to a mutual fund's fees, mutual fund boards are required to evaluate the material factors applicable to a decision to approve an Investment Advisory Agreement. Consistent with these responsibilities, the Trust's Board of Trustees calls and holds meetings each year that are dedicated to considering whether to renew the Investment Advisory Agreements between the Trust and SIMC and SIMC and the Sub-Advisers with respect to the Funds of the Trust. In preparation for these meetings, the Board requests and reviews a wide variety of materials provided by SIMC and the Sub-Advisers, including information about SIMC's and the Sub-Advisers' affiliates, personnel and operations. The Board also receives extensive data provided by third parties. This information is in addition to the detailed information about the Funds that the Board reviews during the course of each year, including information that relates to Fund operations and Fund performance. The Trustees also receive a memorandum from Fund counsel and independent counsel to the Independent Trustees regarding the responsibilities of Trustees in connection with their consideration of whether to approve the Trust's Investment Advisory Agreements. Finally, the Independent Trustees receive advice from independent counsel to the Independent Trustees, meet in executive session outside the presence of Fund management and participate in question and answer sessions with representatives of SIMC and the Sub-Advisers. Specifically, the Board requested and received written materials from SIMC and the Sub-Advisers regarding: (a) the quality of SIMC's and the Sub-Advisers' investment management and other services; (b) SIMC's and the Sub-Advisers' investment management personnel; (c) SIMC's and the Sub-Advisers' operations and financial condition; (d) SIMC's and the Sub-Advisers' brokerage practices (including any soft dollar arrangements) and investment strategies; (e) the level of the advisory fees that SIMC and the Sub-Advisers charge the Funds compared with the fees each charge to comparable mutual funds; (f) the Funds' overall fees and operating expenses compared with similar mutual funds; (g) the level of SIMC's and the Sub-Advisers' profitability from their Fund-related operations; (h) SIMC's and the Sub-Advisers' compliance systems; (i) SIMC's and the Sub-Advisers' policies on and compliance procedures for personal securities transactions; (j) SIMC's and the Sub-Advisers' reputation, expertise and resources in domestic and/or international financial markets; and (k) the Funds' performance compared with similar mutual funds. - -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Annual Report / September 30, 2007 239 Board of Trustees Considerations in Approving the Advisory and Sub-Advisory Agreements (Unaudited) (Concluded) At the December 7-8, 2006, March 14, 2007, June 28-29, 2007 and September 19-20, 2007 meetings of the Board of Trustees, the Trustees, including a majority of the Independent Trustees, approved the Investment Advisory Agreements and approved the selection of SIMC and the Sub-Advisers to act in their respective capacities for the Funds. The Board's approval was based on its consideration and evaluation of a variety of specific factors discussed at the meetings and at prior meetings, including: o the nature, extent and quality of the services provided to the Funds under the Investment Advisory Agreements, including the resources of SIMC and the Sub-Advisers and their affiliates dedicated to the Funds; o the Funds' investment performance and how it compared to that of other comparable mutual funds; o the Funds' expenses under each Investment Advisory Agreement and how those expenses compared to those of other comparable mutual funds; o the profitability of SIMC and the Sub-Advisers and their affiliates with respect to the Funds, including both direct and indirect benefits accruing to SIMC and the Sub-Advisers and their affiliates; and o the extent to which economies of scale would be realized as the Funds grow and whether fee levels in the Investment Advisory Agreements reflect those economies of scale for the benefit of Fund investors. NATURE, EXTENT AND QUALITY OF SERVICES. The Board of Trustees considered the nature, extent and quality of the services provided by SIMC and the Sub-Advisers to the Funds and the resources of SIMC and the Sub-Advisers and their affiliates dedicated to the Funds. In this regard, the Trustees evaluated, among other things, SIMC's and the Sub-Advisers' personnel, experience, track record and compliance program. The Trustees found the level of SIMC's professional staff and culture of compliance satisfactory. Following evaluation, the Board concluded that, within the context of its full deliberations, the nature, extent and quality of services provided by SIMC and the Sub-Advisers to the Funds and the resources of SIMC and the Sub-Advisers and their affiliates dedicated to the Funds supported renewal of the Investment Advisory Agreements. FUND PERFORMANCE. The Board of Trustees considered Fund performance in determining whether to renew the Investment Advisory Agreements. Specifically, the Trustees considered the Funds' performance relative to their peer groups and appropriate indices/benchmarks, in light of total return, yield and market trends. As part of this review, the Trustees considered the composition of each peer group and selection criteria. In evaluating performance, the Trustees considered both market risk and shareholder risk expectations for the Funds. The Trustees found Fund performance satisfactory, and where performance was below the benchmark, the Trustees were satisfied that appropriate steps were being taken. Following evaluation, the Board concluded that, within the context of its full deliberations, the performance of the Funds supported renewal of the Investment Advisory Agreements. FUND EXPENSES. With respect to the Funds' expenses under the Investment Advisory Agreements, the Trustees considered the rate of compensation called for by the Investment Advisory Agreements and the Funds' net operating expense ratio in comparison to those of other comparable mutual funds. The Trustees also considered information about average expense ratios of comparable mutual funds in the Funds' respective peer groups. The Trustees further considered the fact that the comprehensive fee analysis either showed that the various fees were below average or that there was a reasonable basis for the fee level. Finally, the Trustees considered the effects of SIMC's voluntary waiver of management and other fees and the Sub-Advisers' fees to prevent total Fund expenses from exceeding a specified cap and that SIMC and the Sub-Advisers, through waivers, have maintained the Funds' net operating expenses at competitive levels for their respective distribution channels. Following evaluation, the Board concluded that, within the context of its full deliberations, the expenses of the Funds are reasonable and supported renewal of the Investment Advisory Agreements. - -------------------------------------------------------------------------------- 240 SEI Institutional Managed Trust / Annual Report / September 30, 2007 PROFITABILITY. With regard to profitability, the Trustees considered all compensation flowing to SIMC and the Sub-Adviser and their affiliates, directly or indirectly. The Trustees considered whether the varied levels of compensation and profitability under the Investment Advisory Agreements and other service agreements were reasonable and justified in light of the quality of all services rendered to the Funds by SIMC and the Sub-Advisers and their affiliates. The Trustees found that profitability was reasonable and that the margin was not increasing despite growth in assets. When considering the profitability of the Sub-Advisers, the Board took into account the fact that the Sub-Advisers are compensated by SIMC, and not by the Funds directly, and such compensation with respect to any Sub-Adviser reflects an arms-length negotiation between the Sub-Adviser and SIMC. Based on this evaluation, the Board concluded that, within the context of its full deliberations, the profitability of SIMC and the Sub-Advisers are reasonable and supported renewal of the Investment Advisory Agreements. ECONOMIES OF SCALE. The Trustees considered the existence of any economies of scale and whether those were passed along to the Funds' shareholders through a graduated investment advisory fee schedule or other means, including any fee waivers by SIMC and its affiliates. Based on this evaluation, the Board concluded that, within the context of its full deliberations, the Funds obtain reasonable benefit from economies of scale. Based on the Trustees' deliberation and their evaluation of the information described above, the Board, including all of the Independent Trustees, unanimously approved the continuation of the Investment Advisory Agreements and concluded that the compensation under the Investment Advisory Agreements is fair and reasonable in light of such services and expenses and such other matters as the Trustees considered to be relevant in the exercise of their reasonable judgment. In the course of their deliberations, the Trustees did not identify any particular information that was all-important or controlling. - -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Annual Report / September 30, 2007 241 Notice to Shareholders (Unaudited) For shareholders who do not have a September 30, 2007, taxable year end, this notice is for informational purposes only. For shareholders with a September 30, 2007, taxable year end, please consult your tax adviser as to the pertinence of this notice. For the fiscal year ended September 30, 2007, the Funds are designating long term and qualifying dividend income with regard to distributions paid during the year as follows:
- ----------------------------------------------------------------------------------------------------------------- (C) (B) DIVIDENDS (A) ORDINARY QUALIFYING LONG-TERM INCOME TOTAL FOR CORPORATE CAPITAL GAIN DISTRIBUTIONS RETURN OF DISTRIBUTIONS DIVIDENDS REC. FUND DISTRIBUTION (TAX BASIS) CAPITAL (TAX BASIS) DEDUCTION (1) - ----------------------------------------------------------------------------------------------------------------- Large Cap Value Fund 78% 22% 0% 100% 89% Large Cap Growth Fund 0% 100% 0% 100% 100% Tax-Managed Large Cap Fund 0% 100% 0% 100% 100% Large Cap Diversified Alpha Fund 30% 70% 0% 100% 51% S&P 500 Index Fund 34% 66% 0% 100% 92% Small Cap Value Fund 76% 24% 0% 100% 28% Small Cap Growth Fund 82% 18% 0% 100% 22% Tax-Managed Small Cap Fund 81% 19% 0% 100% 62% Small/Mid Cap Diversified Alpha Fund 0% 100% 0% 100% 69% Mid-Cap Fund 73% 27% 0% 100% 20% U.S. Managed Volatility Fund(7) 31% 69% 0% 100% 45% Global Managed Volatility Fund 1% 99% 0% 100% 14% Real Estate Fund(6) 56% 43% 1% 100% 0% Enhanced Income Fund 0% 100% 0% 100% 0% Core Fixed Income Fund 0% 100% 0% 100% 0% High Yield Bond Fund 0% 100% 0% 100% 0%
- ---------------------------------------------------------------------------------------------------------------- (D) QUALIFYING DIVIDEND INCOME (E) QUALIFIED QUALIFIED (15% TAX RATE U.S. GOVERNMENT INTEREST SHORT-TERM FUND FOR QDI) (2) INTEREST (3) INCOME (4) CAPITAL GAINS (5) - ---------------------------------------------------------------------------------------------------------------- Large Cap Value Fund 89% 1% 1% 100% Large Cap Growth Fund 100% 1% 3% 0% Tax-Managed Large Cap Fund 100% 1% 1% 0% Large Cap Diversified Alpha Fund 37% 1% 34% 100% S&P 500 Index Fund 92% 1% 1% 100% Small Cap Value Fund 28% 0% 34% 100% Small Cap Growth Fund 17% 1% 1% 0% Tax-Managed Small Cap Fund 55% 1% 1% 100% Small/Mid Cap Diversified Alpha Fund 57% 1% 75% 0% Mid-Cap Fund 20% 1% 2% 100% U.S. Managed Volatility Fund 44% 1% 21% 100% Global Managed Volatility Fund(7) 17% 1% 3% 100% Real Estate Fund(6) 0% 0% 0% 0% Enhanced Income Fund 0% 1% 89% 0% Core Fixed Income Fund 0% 14% 86% 100% High Yield Bond Fund 0% 0% 82% 100%
(1) Qualifying dividends represent dividends which qualify for the corporate dividends received deduction and is reflected as a percentage of ordinary Income distributions (the total of short term capital gain and net investment income distributions). (2) The percentage in this column represents the amount of "Qualifying Dividend Income" as created by the Jobs and Growth Tax Relief Reconciliation Act of 2003 and is reflected as a percentage of ordinary income distributions (the total of short term capital gain and net investment income distributions). It is the intention of each of the aforementioned funds to designate the maximum amount permitted by law. (3) "U.S. Government Interest" represents the amount of interest that was derived from direct U.S. Government obligations and distributed during the fiscal year. This amount is reflected as a percentage of total ordinary income distributions (the total of short term capital gain and net investment income distributions). Generally, interest from direct U.S. Government obligations is exempt from state income tax. However, for shareholders who are residents of California, Connecticut and New York, the statutory threshold requirements were not satisfied to permit exemption of these amounts from state income. (4) The percentage in this column represents the amount of "Qualifying Interest Income" as created by the American Jobs Creation Act of 2004 and is reflected as a percentage of net investment income distributions that is exempt from U.S. withholding tax when paid to foreign investors. (5) The percentage in this column represents the amount of "Qualifying Short-Term Capital Gain" as created by the American Jobs Creation Act of 2004 and is reflected as a percentage of short-term capital gain distributions that is exempt from U.S. withholding tax when paid to foreign investors. (6) Information reflects Fund activity based on Fund's December 31, 2006 tax reporting year. (7) The Fund intends to pass through foreign tax credit to shareholders. For fiscal year ended September 30, 2007, the total amount of foreign source income is $2,783,811. The total amount of foreign tax paid is $350,621. Your allocable share of the foreign tax credit will be reported on Form 1099-DIV. Items (A) and (B) are based on the percentages of each Fund's total distribution. Items (C) and (D) are based on the percentage of ordinary income distributions of each Fund. Item (E) is based on the percentage of gross income of each Fund. Please consult your tax adviser for proper treatment of this information. This notification should be kept with your permanent tax records. - -------------------------------------------------------------------------------- 242 SEI Institutional Managed Trust / Annual Report / September 30, 2007 Shareholder Voting Results (Unaudited) At a special meeting held on August 31, 2007, the shareholders of the SEI Index Funds voted to approve an Agreement and Plan of Reorganization for transfer of all assets of the SEI Index Funds S&P 500 Index Fund (the "Current Fund") to S&P 500 Index Fund (the "New Fund"), a series of the SEI Institutional Managed Trust ("SIMT"), in exchange for the New Fund's Class A, Class E and Class I shares, respectively, having an aggregate net asset value equal to the value of the Current Fund's net assets and the assumption by the New Fund of all of the liabilities of the Current Fund. % OF NUMBER OF OUTSTANDING % OF SHARES SHARES SHARES PRESENT -------------- ----------- ----------- Affirmative 21,929,954.657 52.006% 96.587% Against 328,453.712 0.779% 1.446% Abstain 446,540.424 1.059% 1.967% -------------- ----------- ----------- TOTAL 22,704,948.793 53.844% 100.000% - -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Annual Report / September 30, 2007 243 Notes Notes Notes Notes Notes SEI INSTITUTIONAL MANAGED TRUST ANNUAL REPORT SEPTEMBER 30, 2007 Robert A. Nesher, CHAIRMAN TRUSTEES William M. Doran F. Wendell Gooch James M. Storey George J. Sullivan, Jr. Rosemarie B. Greco Nina Lesavoy James M. Williams Mitchell A. Johnson OFFICERS Robert A. Nesher PRESIDENT AND CHIEF EXECUTIVE OFFICER Stephen F. Panner CONTROLLER AND CHIEF FINANCIAL OFFICER Russell Emery CHIEF COMPLIANCE OFFICER Timothy D. Barto VICE PRESIDENT, SECRETARY Sofia A. Rosala VICE PRESIDENT, ASSISTANT SECRETARY James Ndiaye VICE PRESIDENT, ASSISTANT SECRETARY Michael T. Pang VICE PRESIDENT, ASSISTANT SECRETARY John J. McCue VICE PRESIDENT Nicole Welch ANTI-MONEY LAUNDERING COMPLIANCE OFFICER INVESTMENT ADVISER SEI Investments Management Corporation ADMINISTRATOR SEI Investments Global Funds Services DISTRIBUTOR SEI Investments Distribution Co. LEGAL COUNSEL Morgan, Lewis & Bockius LLP INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM KPMG LLP This report and the financial statements contained herein are submitted for the general information of the shareholders of the Trust and must be preceded or accompanied by a current prospectus. Shares of the Funds are not deposits or obligations of, or guaranteed or endorsed by, any bank. The shares are not federally insured by the Federal Deposit Insurance Corporation (FDIC), the Federal Reserve Board, or any other government agency. Investment in the shares involves risk, including the possible loss of principal. FOR MORE INFORMATION CALL 1 800 DIAL SEI (1 800 342 5734) [LOGO] SEI New ways. New answers.(R) SEI Investments Distribution Co. Oaks, PA 19456 1.800.DIAL.SEI (1.800.342.5734) SEI-F-087 (9/07) ITEM 2. CODE OF ETHICS. The registrant has adopted a code of ethics that applies to the registrant's principal executive officer, principal financial officer, comptroller or principal accounting officer. ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT. (a) (1) The registrant's board of trustees has determined that the registrant has one audit committee financial expert serving on the audit committee. (a) (2) The audit committee financial expert is George J. Sullivan, Jr. Mr. Sullivan is an independent trustee as defined in Form N-CSR Item 3 (a) (2) ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES. Fees billed by KPMG LLP (KPMG) related to the Trust KPMG billed the Trust aggregate fees for services rendered to the Trust for fiscal year 2007 and for fiscal year 2006 as follows:
- ------------------ ----------------------------------------------------- ----------------------------------------------------- 2007 2006 - ------------------ ----------------------------------------------------- ----------------------------------------------------- All fees and All fees and All other fees All fees and All fees and All other fees services to the services to and services to services to the services to and services to Trust that were service service Trust that were service service pre-approved affiliates that affiliates that pre-approved affiliates that affiliates that were did not require were did not require pre-approved pre-approval pre-approved pre-approval - ------- ---------- ----------------- ----------------- ----------------- ----------------- ----------------- ----------------- (a) Audit $390,500 N/A N/A $259,600 N/A $0 Fees (1) - ------- ---------- ----------------- ----------------- ----------------- ----------------- ----------------- ----------------- (b) Audit- $ 0 $ 0 N/A $0 $0 $0 Related Fees - ------- ---------- ----------------- ----------------- ----------------- ----------------- ----------------- ----------------- (c) Tax N/A N/A N/A $0 $0 $0 Fees - ------- ---------- ----------------- ----------------- ----------------- ----------------- ----------------- ----------------- (d) All $15,215 $254,300 $0 $0 $216,500 $60,630 Other Fees - ------- ---------- ----------------- ----------------- ----------------- ----------------- ----------------- -----------------
Notes: (1) Audit fees include amounts related to the audit of the registrant's annual financial statements and services normally provided by the accountant in connection with statutory and regulatory filings. (e)(1) All requests or applications for services to be provided by the independent auditor shall be submitted to the Chief Financial Officer ("CFO") of the Funds and must include a detailed description of the services proposed to be rendered. The Fund's CFO will determine whether such services (1) require specific pre-approval, (2) are included within the list of services that have received the general pre-approval of the Audit Committee or (3) have been previously pre-approved in connection with the independent auditor's annual engagement letter for the applicable year or otherwise. Requests or applications to provide services that require specific pre-approval by the Audit Committee will be submitted to the Audit Committee by the CFO. The Audit Committee will be informed by the CFO on a quarterly basis of all services rendered by the independent auditor. The Audit Committee has delegated specific pre-approval authority to either the Audit Committee Chair or financial expert, provided that the estimated fee for any such proposed pre-approved service does not exceed $100,000 and any pre-approval decisions are reported to the Audit Committee at its next regularly scheduled meeting. All services to be provided by the independent auditor shall be provided pursuant to a signed written engagement letter with the Funds, the investment advisor or applicable control affiliate (except that matters as to which an engagement letter would be impractical because of timing issues or because the matter is small may not be the subject of an engagement letter) that sets forth both the services to be provided by the independent auditor and the total fees to be paid to the independent auditor for those services. In addition, the Audit Committee has determined to take additional measures on an annual basis to meet its responsibility to oversee the work of the independent auditor and to assure the auditor's independence from the Funds, such as reviewing a formal written statement from the independent auditor delineating all relationships between the independent auditor and the Funds, and discussing with the independent auditor its methods and procedures for ensuring independence. (e)(2) Percentage of fees billed applicable to non-audit services pursuant to waiver of pre-approval requirement were as follows: ------------------------- ------------- ------------ 2007 2006 ------------------------- ------------- ------------ Audit-Related Fees 0% 0% ------------------------- ------------- ------------ Tax Fees 0% 0% ------------------------- ------------- ------------ All Other Fees 0% 0% ------------------------- ------------- ------------ (f) Not Applicable. (g)(1) The aggregate non-audit fees and services billed by KPMG for the fiscal year 2007 and fiscal year 2006 were $269,515 and $277,130, respectively. Non-audit fees consist of SAS No. 70 review of fund accounting and administration operations, attestation report in accordance with Rule 17 Ad-13, agreed upon procedures report over certain internal controls related to compliance with federal securities laws and regulations and tax consulting services for various service affiliates of the registrant. (h) During the past fiscal year, Registrant's principal accountant provided certain non-audit services to Registrant's investment adviser or to entities controlling, controlled by, or under common control with Registrant's investment adviser that provide ongoing services to Registrant that were not subject to pre-approval pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X. The audit committee of Registrant's Board of Trustees reviewed and considered these non-audit services provided by Registrant's principal accountant to Registrant's affiliates, including whether the provision of these non-audit services is compatible with maintaining the principal accountant's independence. ITEMS 5. AUDIT COMMITTEE OF LISTED REGISTRANTS. Not applicable to open-end investment management companies. ITEM 6. SCHEDULE OF INVESTMENTS Included in Item 1. ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES. Not applicable to open-end investment management companies. ITEM 8. MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES Not applicable. ITEM 9. PURCHASERS OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT COMPANY AND AFFILIATED PURCHASERS. Not applicable to open-end management investment companies. ITEM 10. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS. The Trust has a standing Nominating Committee (the "Committee") currently consisting of the Independent Trustees. The Committee is responsible for evaluating and recommending nominees for election to the Trust's Board of Trustees (the "Board"). Pursuant to the Committee's Charter, adopted on June 18, 2004, the Committee will review all shareholder recommendations for nominations to fill vacancies on the Board if such recommendations are submitted in writing and addressed to the Committee at the Trust's office. ITEM 11. CONTROLS AND PROCEDURES. (a) The certifying officers, whose certifications are included herewith, have evaluated the registrant's disclosure controls and procedures within 90 days of the filing date of this report. Based on their evaluation, the certifying officers have concluded that the registrant's disclosure controls and procedures are adequately designed, and are operating effectively to ensure, that information required to be disclosed by the registrant in the reports it files or submits under the Securities Exchange Act of 1934 is recorded, processed, summarized and reported within the time periods specified in the Securities and Exchange Commission's rules and forms. (b) There were no significant changes in the registrant's internal control over financial reporting that occurred during the registrant's last fiscal half-year that have materially affected, or are reasonably likely to materially affect, the registrants internal control over financial reporting. ITEMS 12. EXHIBITS. (a)(1) Code of Ethics attached hereto. (a)(2) A separate certification for the principal executive officer and the principal financial officer of the registrant as required by Rule 30a-2(a) under the Investment Company Act of 1940, as amended (17 CFR 270.30a-2(a)), are filed herewith. (b) Officer certifications as required by Rule 30a-2(b) under the Investment Company Act of 1940, as amended (17 CFR 270.30a-2(b)) also accompany this filing as an Exhibit. - -------------------------------------------------------------------------------- SIGNATURES Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized. (Registrant) SEI Institutional Managed Trust By (Signature and Title)* /s/ Robert A. Nesher -------------------------- Robert A. Nesher President & CEO Date: November 26, 2007 Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated. By (Signature and Title)* /s/ Robert A. Nesher -------------------------- Robert A. Nesher President & CEO Date: November 26, 2007 By (Signature and Title)* /s/ Stephen F. Panner -------------------------- Stephen F. Panner Controller & CFO Date: November 26, 2007 * Print the name and title of each signing officer under his or her signature. EX-99.CODE ETH 2 simtar9_07coe.txt SIMT AR 9_07 CODE OF ETHICS SEI LIQUID ASSET TRUST SEI TAX EXEMPT TRUST SEI DAILY INCOME TRUST SEI INDEX FUNDS SEI INSTITUTIONAL MANAGED TRUST SEI INSTITUTIONAL INTERNATIONAL TRUST SEI ASSET ALLOCATION TRUST SEI INSTITUTIONAL INVESTMENTS TRUST SEI INSURANCE PRODUCTS TRUST FINANCIAL OFFICER CODE OF ETHICS I. INTRODUCTION The reputation and integrity of SEI Liquid Asset Trust, SEI Tax Exempt Trust, SEI Daily Income Trust, SEI Index Funds, SEI Institutional Managed Trust, SEI Institutional International Trust, SEI Asset Allocation Trust, SEI Institutional Investments Trust and SEI Insurance Products Trust (each a "Trust" and, collectively, the "Trusts") are valuable assets that are vital to the each Trust's success. The Trusts' senior financial officers ("SFOs") are responsible for conducting the Trusts' business in a manner that demonstrates a commitment to the highest standards of integrity. The Trusts' SFOs include the principal executive officer, the principal financial officer, comptroller or principal accounting officer, and any person who performs a similar function. The Sarbanes-Oxley Act of 2002 (the "Act") effected sweeping corporate disclosure and financial reporting reform on public companies, including mutual funds, to address corporate malfeasance and assure investors that the companies in which they invest are accurately and completely disclosing financial information. Under the Act, all public companies (including the Trusts) must either have a code of ethics for their SFOs, or disclose why they do not. The Act was intended to foster corporate environments which encourage employees to question and report unethical and potentially illegal business practices. Each Trust has chosen to adopt this Financial Officer Code of Ethics (the "Code") to encourage its SFOs to act in a manner consistent with the highest principles of ethical conduct. II. PURPOSES OF THE CODE The purposes of this Code are: o To promote honest and ethical conduct by each Trust's SFOs, including the ethical handling of actual or apparent conflicts of interest between personal and professional relationships; o To assist each Trust's SFOs in recognizing and avoiding conflicts of interest, including disclosing to an appropriate person any material transaction or relationship that reasonably could be expected to give rise to such a conflict; 1 o To promote full, fair, accurate, timely, and understandable disclosure in reports and documents that the Trusts file with, or submit to, the SEC and in other public communications made by the Trusts; o To promote compliance with applicable laws, rules and regulations; o To encourage the prompt internal reporting to an appropriate person of violations of this Code; and o To establish accountability for adherence to this Code. III. QUESTIONS ABOUT THIS CODE Each Trust's compliance officer designated to oversee compliance with the Trust's Code of Ethics adopted pursuant to Rule 17j-1 shall serve as Compliance Officer for the implementation and administration of this Code. You should direct your questions about this Code to the Compliance Officer. IV. CONDUCT GUIDELINES Each Trust has adopted the following guidelines under which the Trust's SFOs must perform their official duties and conduct the business affairs of the Trust. 1. ETHICAL AND HONEST CONDUCT IS OF PARAMOUNT IMPORTANCE. Each Trust's SFOs must act with honesty and integrity and avoid violations of this Code, including the avoidance of actual or apparent conflicts of interest with the Trust in personal and professional relationships. 2. SFOS MUST DISCLOSE MATERIAL TRANSACTIONS OR RELATIONSHIPS. Each Trust's SFOs must disclose to the Compliance Officer any actual or apparent conflicts of interest the SFO may have with the Trust that reasonably could be expected to give rise to any violations of this Code. Such conflicts of interest may arise as a result of material transactions or business or personal relationships to which the SFO may be a party. If it is not possible to disclose the matter to the Compliance Officer, it should be disclosed to the Trust's Chief Financial Officer, Chief Executive Officer or another appropriate person. In addition to disclosing any actual or apparent conflicts of interest in which an SFO is personally involved, the Trusts' SFOs have an obligation to report any other actual or apparent conflicts which they discover or of which they otherwise become aware. If you are unsure whether a particular fact pattern gives rise to a conflict of interest, or whether a particular transaction or relationship is "material," you should bring the matter to the attention of the Compliance Officer. 3. STANDARDS FOR QUALITY OF INFORMATION SHARED WITH SERVICE PROVIDERS OF THE TRUSTS. Each Trust's SFOs must at all times seek to provide information to the Trust's service providers (adviser, administrator, outside auditor, outside counsel, 2 custodian, ETC.) that is accurate, complete, objective, relevant, timely, and understandable. 4. STANDARDS FOR QUALITY OF INFORMATION INCLUDED IN PERIODIC REPORTS. Each Trust's SFOs must at all times endeavor to ensure full, fair, timely, accurate, and understandable disclosure in the Trust's periodic reports. 5. COMPLIANCE WITH LAWS. Each Trust's SFOs must comply with the federal securities laws and other laws and rules applicable to the Trusts, such as the Internal Revenue Code. 6. STANDARD OF CARE. Each Trust's SFOs must at all times act in good faith and with due care, competence and diligence, without misrepresenting material facts or allowing your independent judgment to be subordinated. Each Trust's SFOs must conduct the affairs of the Trust in a responsible manner, consistent with this Code. 7. CONFIDENTIALITY OF INFORMATION. Each Trust's SFOs must respect and protect the confidentiality of information acquired in the course of their professional duties, except when authorized by the Trust to disclose it or where disclosure is otherwise legally mandated. You may not use confidential information acquired in the course of your work for personal advantage. 8. SHARING OF INFORMATION AND EDUCATIONAL STANDARDS. Each Trust's SFOs should share information with relevant parties to keep them informed of the business affairs of the Trust, as appropriate, and maintain skills important and relevant to the Trust's needs. 9. PROMOTE ETHICAL CONDUCT. Each Trust's SFOs should at all times proactively promote ethical behavior among peers in your work environment. 10. STANDARDS FOR RECORDKEEPING. Each Trust's SFOs must at all times endeavor to ensure that the Trust's financial books and records are thoroughly and accurately maintained to the best of their knowledge in a manner consistent with applicable laws and this Code. V. WAIVERS OF THIS CODE You may request a waiver of a provision of this Code by submitting your request in writing to the Compliance Officer for appropriate review. For example, if a family member works for a service provider that prepares a Trust's financial statements, you may have a potential conflict of interest in reviewing those statements and should seek a waiver of this Code to review the work. An executive officer of each Trust, or another appropriate person (such as a designated Board or Audit Committee member), will decide whether to grant a waiver. All waivers of this code must be disclosed to the applicable Trust's shareholders to the extent required by SEC rules. 3 VI. AFFIRMATION OF THE CODE Upon adoption of the Code, each Trust's SFOs must affirm in writing that they have received, read and understand the Code, and annually thereafter must affirm that they have complied with the requirements of the Code. To the extent necessary, each Trust's Compliance Officer will provide guidance on the conduct required by this Code and the manner in which violations or suspected violations must be reported and waivers must be requested. VII. REPORTING VIOLATIONS In the event that an SFO discovers or, in good faith, suspects a violation of this Code, the SFO MUST immediately report the violation or suspected violation to the Compliance Officer. The Compliance Officer may, in his or her discretion, consult with another member of the Trust's senior management or the Board in determining how to address the suspected violation. For example, a Code violation may occur when a periodic report or financial statement of a Trust omits a material fact, or is technically accurate but, in the view of the SFO, is written in a way that obscures its meaning. SFOs who report violations or suspected violations in good faith will not be subject to retaliation of any kind. Reported violations will be investigated and addressed promptly and will be treated as confidential to the extent possible. VIII. VIOLATIONS OF THE CODE Dishonest or unethical conduct or conduct that is illegal will constitute a violation of this Code, regardless of whether this Code specifically refers to such particular conduct. A violation of this Code may result in disciplinary action, up to and including removal as an SFO of the Trust. A variety of laws apply to the Trusts and their operations, including the Securities Act of 1933, the Investment Company Act of 1940, state laws relating to duties owed by Trust officers, and criminal laws. The Trusts will report any suspected criminal violations to the appropriate authorities, and will investigate, address and report, as appropriate, non-criminal violations. ADOPTED: JUNE 30, 2003 4 EX-99.CERT 3 simtarcert302_rn.txt SIMT AR 9_07 CERT 302_RN CERTIFICATION Pursuant to Section 302 of the Sarbanes-Oxley Act of 2002 I, Robert A. Nesher, certify that: 1. I have reviewed this report on Form N-CSR of SEI Institutional Managed Trust; 2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report; 3. Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the periods presented in this report; 4. The registrant's other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940)for the registrant and have: (a) Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared; (b) Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles; (c) Evaluated the effectiveness of the registrant's disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based on such evaluation; and (d) Disclosed in this report any change in the registrant's internal control over financial reporting that occurred during the registrant's most recent fiscal half-year (the registrant's second fiscal half-year in the case of an annual report) that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting; and 5. The registrant's other certifying officer(s) and I have disclosed to the registrant's auditors and the audit committee of the registrant's board of directors (or persons performing the equivalent functions): (a) All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant's ability to record, process, summarize, and report financial information; and (b) Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant's internal control over financial reporting. Date: November 26, 2007 /s/ Robert A. Nesher - -------------------- Robert A. Nesher President & CEO EX-99.CERT 4 simtarcert302_sp.txt SIMT AR 9_07 CERT 302_SP CERTIFICATION Pursuant to Section 302 of the Sarbanes-Oxley Act of 2002 I, Stephen F. Panner, certify that: 1. I have reviewed this report on Form N-CSR of SEI Institutional Managed Trust; 2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report; 3. Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the periods presented in this report; 4. The registrant's other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940)for the registrant and have: (a) Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared; (b) Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles; (c) Evaluated the effectiveness of the registrant's disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based on such evaluation; and (d) Disclosed in this report any change in the registrant's internal control over financial reporting that occurred during the registrant's most recent fiscal half-year (the registrant's second fiscal half-year in the case of an annual report) that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting; and 5. The registrant's other certifying officer(s) and I have disclosed to the registrant's auditors and the audit committee of the registrant's board of directors (or persons performing the equivalent functions): (a) All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant's ability to record, process, summarize, and report financial information; and (b) Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant's internal control over financial reporting. Date: November 26, 2007 /s/ Stephen F. Panner - --------------------- Stephen F. Panner Controller & CFO EX-99.906CERT 5 simtarcert906_rn.txt SIMT AR 9_07 CERT 906_RN CERTIFICATION Pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 The undersigned, the Chief Executive Officer of SEI Institutional Managed Trust (the "Fund"), with respect to the Fund's Form N-CSR for the year ended September 30, 2007 as filed with the Securities and Exchange Commission, hereby certifies, pursuant to 18 U.S.C. Section 1350, as adopted pursuant to Section 906 of the Sarbanes-Oxley Act of 2002, that, to the best of my knowledge: 1. such Form N-CSR fully complies with the requirements of section 13(a) or 15(d) of the Securities Exchange Act of 1934; and 2. the information contained in such Form N-CSR fairly presents, in all material respects, the financial condition and results of operations of the Fund. Dated: November 26, 2007 /s/ Robert A. Nesher -------------------- Robert A. Nesher EX-99.906CERT 6 simtarcert906_sp.txt SIMT AR 9_07 CERT 906_SP CERTIFICATION Pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 The undersigned, the Controller & CFO of SEI Institutional Managed Trust (the "Fund"), with respect to the Fund's Form N-CSR for the year ended September 30, 2007 as filed with the Securities and Exchange Commission, hereby certifies, pursuant to 18 U.S.C. Section 1350, as adopted pursuant to Section 906 of the Sarbanes-Oxley Act of 2002, that, to the best of my knowledge: 1. such Form N-CSR fully complies with the requirements of section 13(a) or 15(d) of the Securities Exchange Act of 1934; and 2. the information contained in such Form N-CSR fairly presents, in all material respects, the financial condition and results of operations of the Fund. Dated: November 26, 2007 /s/ Stephen F. Panner --------------------- Stephen F. Panner -----END PRIVACY-ENHANCED MESSAGE-----